Some of the music format are not compatible to Sony Walkman, some music files are protected by DRM. You can try leawo video converter to change the audio format or try leawo Prof. DRM to remove DRM protection. Here is the guide you can refer to https://www.leawo.org/tutorial/how-to-transfer-music-from-spotify-to-sony-walkman-1372.html
The message means the music is copy protected and that means it will not play outside the device it was downloaded to, in your case the Walkman.
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