CDs and DVDs are not exempt from sales tax, exempting their online counterparts is wildly inconsistent.
CDs and DVDs are things, each of which has individual countability, and which has an integral nature (i.e. half a CD is worthless). By comparison, download is a verb, and what is downloaded is a collection of organized ones and zeroes. Half of a song file can play half of a song.
Why should this particular set of ones and zeroes be taxed, while other sets are not?
Consider a radio broadcaster on the PA border with NY. Would their broadcasts be subject to tax? What about Pandora? Or CNN?
There aren't a whole lot of bright lines, other than perhaps "no taxes on online purchases" or "tax per bit, collected by the ISP" - if you try to tax things which are somewhere between those, the tax-dodge strategies will get more and more clever.