If you're not using OSX then iTunes will not automatically import the music. Did you see the Sticky at the top of this section before you posted? That's how you import music into iTunes. Once it is definitely inside iTunes library you can delete it. Why not have the iTunes library as a share folder. Then you'll know if your music has been imported or not. See: iPod & iTunes Sticky for instructions on importing music into iTunes. Remember that using the Control & O keys you can select multiple files at once by also using the SHIFT key. Once 'added' they can be deleted from the LW download folder.

As you can see below, if you share your iTunes Library then it is visible within the LW Lib window & lists artists & albums in folders.