To me it has always made sense* that Black Market works the way it does with playing Treasures and buying, and with Empires it makes sense that you can't buy from the BM deck when you're in debt.
As Donald said, the rule about playing all your Treasures before you buy cards, is a rule about timing. Although it's phrased with a "cannot", it's not meant as a prohibition. It just means that first you play any Treasures you want, then you buy any cards you want, in that order.
It's like the rule that you play your Treasures in your Buy phase: Effectively it tells you that you can't play them in your Action phase, but it's not meant as a prohibition. It's a timing rule. It just means that there are no rules allowing you to play Treasures in your Action phase. So if a card tells you that you can, you can.
The rule about debt, on the other hand, actually prohibits you from buying anything when you're in debt. It has nothing to do with timing or phases. There is nothing about this rule that signals that it matters what or when you buy, or how or when you accrue debt. If there's ever a card that lets you take debt in return for VP tokens in your Night phase, I'll expect these debt tokens to also prevent all types of buying.
* "always" meaning for the number of years that I've been aware of the two parts of the buy phase, which I've also included in my rules document