Free U2 album doesn’t show up in music library, just iPod

In yesterday's (sep 9th 2014) Apple event, Tim Cook anounced Apple would offer as a gift the album "Songs of Innocence" by the Irish rock band U2.

The iTunes Music Store said album was already "purchased" but it offered no way of downloading it with the purchase button. Instructions said that I would find the album in my library with an iCloud icon indicating the album was in the cloud and I just needed to click that icon to download the album. But the in-the-cloud-album was nowhere to be found in my library.

I updated iTunes to the most recent version to validate that it wasn't a problem with the version I had.

Finally I was able to download the album in the iTunes Store app in my iPod touch. It was in more->purchased->Music->Various with an download button. I downloaded my gift. And I could play the tracks with wi-fi off, proving that the tracks were were in fact downloaded to the iPod.

But when I synced (several times) the iPod with my iTunes library, the album fails to appear in my Library, and only exist in my iPod.

The questions:

• Has someone experience this problem ?
• Is it made that way on purpose so the free-album could only be played on iDevices and not in the Mac/PC ?
• Is this a bug ?
• How could I get around this in order to have the album in my music library in my Mac ?
• How do I get the PDF booklet I'm supposed to get with the album ?

Edit after accepted answer:

Wrong instructions leading to my confusion

Literal translation: Simply go to the Music app in your iOS device or to your music library in your Mac or PC and find Songs of Innocence in the Album or Artist tab. Your music is in iCloud: touch the list to begin to listen or the cloud icon to download them.

If anyone have this screen capture in english feel free to add it. Maybe the bad instructions are only in the spanish version.