They probably wouldn’t care if you no longer had the original CD’s just as long as you have their license.
I understand what your saying about unknown artists. Some on the music I like particularly from the early nineties are on white labels. Very unlikely you would get those released on a digital download site.
You would be surprised though at some of the artists who turn up on download sites and even on streaming sites Spotify !
Think the ProDub folks have claimed its quite unlikely their license would not cover the music you play.
It is a headache to think that digital would make DJing cheaper but now you have to have one of these expensive licenses.
Here is a useful blog post on the subject
http://www.digitaldjtips.com/2014/06/questions-licences-need-dj-upload-mixes/