How do you download new songs when "Show All Songs" is off?
I have noticed this and sadly, I haven't found a way to enable it, I don't want to see every song on my iPhone either, just the ones I have downloaded. 

If I want to listen to something not listed I have to change the setting back and then download, then change it back after downloading.

Alternatively you could (but at risk of wasting 1) Time and 2) Money) try these.


Plug the device into iTunes, or sync over a network
you can enable automatically download purchases to the iPhone