Culture and language evolve, an pirating became meaning getting authorized works without compensating the copyright holders. Apprently this usage dates back to the 1600s.[0]
>What is it I purchase?
Something that's legal according to your region's laws, copyright laws and the EULA. In case of unDRM-ed downloadable files, you most likely purchase the right for personal enjoyment or private screening of the media contained within the files, and of course the store often provides the files themselves too.
As you noted, the legal part is often murky. In case of Hungary, you're permitted for example to back up your legally owned media, so you can legally rip your CDs for yourself. But this is not true for all regions.
The copyright of the composition, the right the redistribute, or usage in a commercial environment is most often excluded when you just "buy and mp3". These are special cases where you need a different legal instrument, like a contract or license, and to pay way more than €1 per track.
Now, onto the dark patterns. The media industry is rife with this. The first is that often you can read "buying", but it's way more restricted legally, and sometimes, the media itself is crippled with a mechanism that tries to enforce some legality[1] - this would be the DRM. Region locking, unskippable anti-piracy segment on the DVD, files that "stop working" after a while, media that's encrypted from file to display, albums/games disappearing or downgrading from your catalogue, there's a lot. Meanwhile you're often presented with how easy and cheap all this is, and how much in control you are - no you're not. If you feel angry or betrayed, that's because you're realizing the con.
What can you do about this? Pirating is fine as a fuck you to the industry, but the creators of all the enjoyable goodness deserve compensation just like everyone else who does good work. So you can look for ways to support them that's more direct than licensing their music from a streaming giant. Bandcamp[2], for one, is quite excellent towards users and artists alike. And also, there is a lot of people who is not content with the current state of copyright - so many that Wikipedia had to open a page just for this issue[3]. So you're certainly not alone in your questioning.
[0] https://english.stackexchange.com/questions/462700/what-is-t...
[1] https://www.defectivebydesign.org/
[2] https://bandcamp.com/
[3] https://en.wikipedia.org/wiki/Criticism_of_copyright