They shouldn’t, lazy uploaders cause that to happen. There are formats available for download that are far superior to CD quality, but they make big files so most folks use a higher compression algorithm than CDs which kills fidelity.
I bought and downloaded the latest Radiohead when it was released a few months ago. For a few extra bucks I paid for the highest fidelity, which was some insanely high bitrate (can't recall right now what it is).
The bitrate was so high, iTunes couldn't recognize it and I had to lower it considerably (down to 2304 kbps 48 kHz) before it was playable on the old iPod. Still sounds amazing.