Please look at what I think could be the problem (and possibly the solution):
I noticed that the SD card only mounts AFTER I unlock the first time after the boot. You can see it by the SD card icon who apears quickly at status bar just after the unlock. For security reasons, it make sense, since someone who stole the phone could try to load malicious software via external storage. Spotify service probably loads BEFORE the SD card mount, and then, like a mother who call the police when his son is 30 seconds late to come back home, it switches to the internal memory and starts to download all again. If the PIN is typed before the system boot, the SD card mount and when Spotify service loads, it can find the external storage. Works like a charm.
This solution did not let Spotify devs off the hook, since many other apps that use external storage didn't present this issue at all.
Make sure, if you have a PIN or password set, to Android ask BEFORE the system boot.
Further information here:
We just wanted to let you know that we've looked into this with the right folks now.
We are currently trying to resolve the issue. We don't have a timeframe for a fix, but we're really glad you let us know about this. If you have any other questions, just let us know!
Keep your app up-to-date and have a nice day 🙂