It annoys me when artists decide not to participate. With Radiohead I at least 'kinda get it' in that their new album is a pay-your-price album, so sure whatever, fine. But for example, Taylor Swift's Red album is not there. What does she want me to do? Buy it on iTunes?? No thanks. If anything, it might make me want to pirate it.
What Spotify should do for these cases is what Xbox Music already does. If the song is not available for free (a-la Radiohead, or Taylor Swift) then you can purchase it just like on iTunes. Except that you get the benefit that it acts like any other song on their free catalog (syncing playlists etc. etc. etc.)
The only problem I see with this is that if it becomes an option, what would make an artist want to go the free route rather than the "pay to have" route? Then again, Xbox Music seems to be doing fine. Everything that is free on Spotify is free on Xbox Music (+ some others) and then Xbox Music gets the advantage in that many songs which just are not on Spotify are at least able to be purchased for ~1 dollar on Xbox Music.