Unable to play songs after switching from iTunes to Apple Music

I finally moved on from iTunes older version to Apple Music. It shows me all my playlists, purchases and uploaded music. However, when I go to a playlist and click on Play, I only get a popup window saying "Ready to Play When You Are" and then "Join Apple Music to stream this or just about every song ever recorded ..."

I signed in everywhere I could find, still not working. What am I missing?

[Re-Titled by Moderator]

Original Title: Ready to Play When You Are