Technical reason: The high security is needed to thwart the network admins who sometimes monitor the network looking for mp3 servers.
Political reason: I want to do my part in helping to make encrypted communications the default on the internet. It's a pretty sure bet that anyone who bothers to send me a postcard will do just about anything to get their hands on Sailormoon music. So it's a perfect chance to get people to upgrade their web browsers to support strong encryption.
GetRight and GoZilla do not support downloading through secure connections. Several years ago they had the excuse that including such support was illegal, but it's legal now (the rules regulating export of encryption software have changed). If you are a GetRight/GoZilla user, please email the company in question and ask them to add support for encrypted connections.
If you have access to a linux/UNIX (or even cygwin) machine, the wget program will allow you to resume broken downloads and retrieve files recursively.
No. Compressing mp3s is pointless since they are already so compressed that no space is saved.