Presumably because they figured they would have a greater chance of success under the utterly-broken US court/patent system.
It's not going to be shut down. If anything, this lawsuit is actually a signal that Spotify is a major player that's here to stay. Why? Because the patent in question (granted in 1995) is so broad, this suit could have been brought against ANYONE selling digital music over the Internet, including Rhapsody, RDIO, or even Apple. But it wasn't, probably because they figured there wasn't enough money to extort (in the case of Rhapsody/RDIO; you don't try to rob a bum), or wouldn't be able to win against an army of lawyers (Apple). They must see Spotify as having the right balance between a relatively weak ability to defend itself, and a strong desire to stay in business for the long term even if it comes at the cost of a big short term payout to these patent trolls.
Tech companies file lawsuits like this against each other all the time. They almost never result in products disappearing. Currently nearly every smartphone manufacturer has a lawsuit filed against every other smartphone manufacturer, all requesting that products are banned from import into the US. Yet no one is worried that iPhones or Droids will suddenly disappear off the shelves. The lawsuits end up just being a tactic that eventually (sometimes years later) leads to a negotiated settlement, some money changes hands behind the scenes, and everything continues on as normal.
Given that Spotify was informed about this patent before the US launch, I would guess that this lawsuit is no surprise to them and they already have potential costs associated with dealing with it built into their business plan.
Neil