There’s a more comprehensive thread on the topic here.
Amazon Music HD has two big glaring omissions on the desktop.
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No “Exclusive Mode”, which means it’s feeding audio through the OS Mixer, which is generally undesirable if you want bit-perfect output.
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Partly because of point 1, it does not automatically reset the output bit-rate/depth on the host OS, so you either have to do that manually every time a track is at a different resolution to your defaults OR the music is being resampled by the OS before it reaches your DAC. OS built-in resampling is not as good as it could be (until Windows or Apple adopt SoX or iZotope for the job).
That last point, alone, makes it not worth it for me.