So what.At its most precise, a watermark could encode a unique serial number that a music company could match to the original purchaser. So far, though, labels say they won't do that: Warner and EMI have not embraced watermarking at all, while Sony's and Universal's DRM-free lineups contain "anonymous" watermarks that won't trace to an individual.
Who cares if they can trace it to an individual. At least if you buy a CD or just one song, you can copy it to any mp3 player you have. I don't mind them shutting down peer to peer exchange of music, although I doubt they could track a song to the particular purchaser.