Is it illegal though? On his website it says:

"Live DJ Sets are not copyrighted, however a few live DJ sets have been commercially released in the past. These sets will not be found on this Web Site, only non copyrighted non-commercially released DJ Sets are available on this site."

It is definitely cheeky, but if the above is true, then it is not illegal, and as DAVE etc don't own the recordings, they would not be due any royalties anyway.

I really don;t know how the law works on this topic. I woudl have thought the legal owner of the mix set mp3 was the club or the radio show who recorded it, not the DJ themselves, but even so I think we can take it for granted this dude has not approached each club/radio show to ask for permission to sell their sets.