Once you download a song or show, you’ll always be able to sync it back to your current device, and all other devices on your account. At the moment, there is no way to remove all your downloads from your account forever (so they don’t sync back).
You can, however, clear your downloads from your device temporarily using the Clear Downloads setting. This will remove all your downloads until you sync them back using the Sync Downloads setting. Once you sync again on any device, all the downloads on your account will come back!