Buying music directly supports the artists who create it and ensures you receive high-quality audio files suitable for professional performance. Building a legal music library contributes to a healthier music ecosystem.
Where you buy changes how much reaches the artist. Bandcamp and direct artist stores pass on the largest share and usually offer FLAC alongside MP3, so you get a better file and a better split at the same time. Larger stores are more convenient and still legitimate, they simply keep more of it. A track costs about the same as a coffee and you will play it for years, which makes this one of the cheapest ways to be useful to the people making the music you depend on.
Buying also means owning. A purchased file sits on your drive, works with no internet, loads on any machine and cannot be removed from your library because a licensing deal expired. Streaming integrations inside DJ software are genuinely useful for testing, but a set built on them depends on a venue’s connection holding up. That is a separate question from performance licensing, which is the organizer’s responsibility, and it pairs with the habit of testing tracks before you commit to buying them.