This is not true. They remove the downloaded and encrypted files (sure) but your library remains in your iCloud. And I have unsubscribed many times and came back, it gets your account synced with iCloud and everything comes back.
Good for you! When I did mine got deleted. Apple only kept it's autogenerated "yearly recap" playlist. So there
That is strange and makes me afraid of using their service.
Wait until your bank proactively blocks your card because you used ATM where a skimmer was found, and then apple icloud monthly payment bounces... That is even more exciting!