There's definitely some people who convert lossy formats to others. Be it mp3 to m4a, or mp3 to wma or vice versas. The risk is there whether you downld mp3, wma or m4a. Personally I generally encode with m4a at high bit rates.

If you see an m4a file with a higher than 320 kpbs bit rate then chances are it's an apple lossless file. Apple lossless is equivalent to FLAC & APE in the respect it is smaller than WAV or AIFF but still the "identical" quality. Lossless audio is generally around 50-60% the size of wav & aiff, though can get smaller than 30% in my experience (depending on the sound.)