In "The Elephants of Style," I discuss how the terms rental car and hard hit have become so ingrained that people use them even in contexts in which car rental and hit hard would be much more natural.
Add talk radio to that list.
Yes, there is a phenomenon called talk radio. But that doesn't mean you have to refer to radio talk shows as talk-radio shows, or to radio talk-show hosts as talk-radio hosts.
(There must be a fancy term for such sancrosanctization of word combinations. Mr. Safire?)