In Lebanon this doesnt apply, but you are right, in places like the UK and Finland, DJs are expected to purchase licenses in order to be eligible to play digital copies of music that is copyrighted to a label or a producer. The law is quite controversial, but recently more and more clubs in the UK have been requiring this as pre-requisite before they hire a certain DJ.
If you are interested in the subject, you can read about it here:
http://en.wikipedia.org/wiki/Digital_DJ_licensing