Searching on the word "Complete" brings up over 1200 entries in the Rhapsody software.  In SqueezeCenter it brings up maybe 100.

One CD (well, two really) that definitely exists on Rhapsody is:
George Gershwin - The Complete Piano Work, Massimiliano Damerini  (CD1 and CD2)  (the "s" on works is missing)

Searching within SqueezeCenter for album using    Gershwin Complete    returns "No results found".


Searching under artist for    Massimiliano    turns up a bunch of them; selecting    Massimiliano Damerini    returns five albums, none of them the Gershwin.


Searching under album for    Complete Piano Work    turns up four albums, the first one ironically being a _different_ Complete Gershwin, none of the others being the one I'm looking for.  Selecting "More results" returns a Rhapsody error and "No results found".


Searching by keyword for    Gershwin complete    returns (0) album results.


I was able work around this was to go into the Rhapsody software, add the albums to my library, and play from there.