Yes; with pinning music offline it's still encrypted & within the Spotify app. The app needs to be connected to the internet at least every 30 days to ensure that your subscription is still current (and, presumably, that all those tracks are still permitted to be on your device).

I've suffered the same, as content agreements have changed, tracks have been made unavailable in playlists.

There's a setting in Spotify to see this; you can disable "hide unplayable tracks in playlists". You'll then see all the affected songs return, but greyed out.