Well, I'm only guessing what "licensed" means in this case (and it could be different for the MP3 files).

But regardless of that, if the WMA file doesn't play, it is most likely either DRM-protected (i.e., encrypted) or in a format Rockbox doesn't support yet. If you're using a recent build, then WMA Pro should work, but WMA Voice isn't supported yet, as far as I know.
If you open a file in Windows Media Player and select File > Properties, you should be able to find out what kind of WMA it is and if it is protected by DRM or not.