Depending on your OS it should prevent screen recording. Maybe screen recording works depending on the DRM level.
The DRM prevents you from directly downloading the files. Similarly Spotify requires DRM so it's impossible to download songs.
Obviously if it's on your device there're ways to circumvent DRM, either by recording or having the right keys.
Most of the time it's the rightholders who demand copy prevention, even if it doesn't prevent copies but annoys customers if it fails.