It only downloads to your device if you have it set to download purchases
The U2 album didn't show up on my iPhone, iPad, or Mac.
My iTunes and my iOS devices are set to *not* download new purchases automatically, and are set to *not* show "purchases in the cloud" in my library. Cloud purchases are noted with a little cloud icon. They are tracks that haven't been downloaded, but which you are able to download if you wish.
When I turned on display of "purchases in the cloud", the U2 album became visible, but still wasn't downloaded. Then I turned it off again and the album went away.
If the tracks downloaded to your device, it's because you have your device configured to automatically download new purchases. If that's the case, I'm not sure you'd have a legal case against Apple for putting the files on your device.