They actually chose to stop selling their music, since that was were the million quid they burnt came from. Part of the same stunt "The KLF has now left the music industry".

They relented recently after 23 yesrs but the copyright issue mentioned remains so for example their "Chill Out" album was officially re-released by them as "Come Down Dawn" but the Elvis, Fleetwood Mac and Acker Bilk samples got removed as part of that.

Still available on Youtube via unofficial channels though.