In most karaoke setups, the requesting system goes as follows: Patrons are given a book with songs in it, they write down song information, the KJ receives that information somehow, and they enter the song in their system. That system has many different forms, but it always has a limited library - every song in the Universe is not available for karaoke, and even if they were, your local KJ probably doesn't have the money to buy every song in the Universe - and it is often the KJ who pays for the songs!
The catch comes when the KJ searches for a song in their system, and finds that it doesn't exist. Depending on the KJ, they might try to find it, and download it for you. But this is a rare gem of a KJ, not your usual breed. If it's not to be found, they will call you up to discuss whether you looked in the book, and tell you that they don't have your song. This will take up the KJ's time, put a hold on other people singing, and be generally embarrassing.
Don't be caught unawares - check the book.