this buy link is simply to "point" users to an external location to purchase the song, but there's no built-in selling feature in music collection. this would require custom coding.

Thanks, but how does it really work, supposed if I create a separate link where clients pays me, do I return them to the video once paid or is there some way of telling your component to allow playing of that particular video.

No, there isn't.
as said before, this is "just a link", nothing more. it's like "go to iTunes and purchase there". there's no back-integration with Music Collection (I mean, not download is activated or anything after he purcahses in an external location). it's just pretty much an "informative" link

to allow what you describe, that is, real "selling" feature, custom coding is needed.