When people say everything is on Spotify, they really mean that everything they know which is Spotify, is on Spotify.
Half the stuff I recommend to people is not on Spotify or Youtube. Thank goodness I had the "entitlement" to build a giant mp3 collection because I have no idea where I'd find it otherwise.
I decided to do that as well, and the fact that artists get literal pennies from Spotify made me completely apathetic towards piracy. I support artists I like through merch and concerts, which is where they make money nowadays.