Why do I have to download music to Android internal storage then copy to SD card to work?
Windows 10 has currently some bugs in the MTP system (MTP is the system used for transferring data from/to your phone via Windows Explorer). This might be the reason for your problems. 

Alternatively you can enable Debug mode and ADB on your device and then use a GUI tool that uses ADB for file transferring, e.g. this one:


Droid Explorer