The advantage of a proper media manager, and a media library, is that it can present a single view (library) into music stored in many locations.
I deliberately keep all my media in directories that reflect where they came from; CDs I have purchased, music I have downloaded (from each source). My music management tools (MediaMonkey, MusicBee & Twonky) are quite happy at pulling all those sources into a single library. Therefore, I have no copies of music in my 'download' locations and my 'library location'; there is no 'library location', just a database that has pointers to all my music source locations.
It sounds like iTunes has pulled copies of your music into a single 'library location', and you still have the originals in their downloaded locations.
Now you have switched from iTunes to MusicBee, you need to choose how you will operate in future; keep all your music in a single library location, and re-direct Amazon (or other) downloads to that location, or keep your source locations separate, and split your library into those separate locations, removing any duplicates that iTunes has created.