That "is" a playlist. It simply reflects the files you have downloaded. For windows users it would mean the files are only in their download folder & not in the iTunes library. But since Mac LW has the option to automatically import them, you end up with 2 copies. The LW playlist in iTunes is whatever you want to name it. Check your LW prefs > iTunes > Sharing & the name of the folder listed. You can change it. But you might need to relaunch iTunes & possibly also LW before you would see the change of the playlist name.