I've seen it in iTunes "get info" section. That file has been locked from editing. You can unlock it if you want to rename it or change other metadata, but probably not in the Korg. As you said, you don't really need to do anything to play it though. It was locked to preserve the quality of the sound and title ate the source.
Folder still opened and songs can be played that are inside it...?
but why is it there?