There's a bit more to it, but it's because of this effect.
There is actually a balance between liquid and gas state, just overwhelmingly in favor of liquid when at normal temperatures. There is a ratio of molecules that will hit each other and transition to gas, and an equal amount gas hitting liquid and condensing. At least when there is a balance between the two sides, aka 100% moisture in the air. Which is not how it is most places.
Normally there is always evaporated water in the air, and anything that evaporated will be moved away in any mildy ventilated area, as you say, it leaves the system. So it never reaches a balance, which is why things dry up at lower temps as water will always evaporate and leave the system.
Skimmed comments, but if you download and manage your music on your own on a machine you can have a super simple setup like I do. All music is synced using Syncthing to my phone. So my phone gets local storage, and then I use Poweramp (android) to play it.
I pretty much have a folder for all the music though. But I assume you can sort music into folders to have them as playlists. But perhaps not as practical as desired.