Smart playlist won't list Apple Music songs?

Hi all,

trying to create a smart playlist that is supposed to be populated with all Apple Music songs within a playlist folder but it won't work as expected. It adds the songs in iTunes on my PC but it says that "The playlist "Playlist" can't be added to icloud music library." etc (see pic). I am doing this to be able to download all songs to my iPhone since no such option exist at the present

The songs in the playlist to be added are all from Apple Music.

Thanks