Though I haven't heard specifically about m4a it should be no different than with m4v. What's happening is the site is using what is called "progressive download" - the file is actually downloading, not streaming, but the player will start actually playing the file once a certain portion has downloaded. It could be that this is the entire file - I don't know the specifics of how this works.
To stream a file it would have to be on a streaming site such as YouTube, Vimeo, SermonAudio.com, etc.
That having been said - I believe for mp3 the internal player will start to play them almost immediately - why, I'm not sure.
Nick is our media player expert - if he is monitoring this post he may have a thought.
Tom