Are you talking about the “For You” stations and playlists that Apple Music customizes for you based on your listening history?

Yes, 

I can get the customized music to work on my iPhone and airplay it on Sonos. But it does not work directly in Sonos. 

Mine works in the Sonos app. Since you just got Apple Music, perhaps it takes some time for it to work in the Sonos app.

Hopefully it will eventually work because Airplay from the iPhone into Sonos sounds like crap !

AirPlay shouldn’t sound like crap. If anything, it should sound about the same as if you streamed directly from the Sonos app, although you may need to increase the volume a little bit more.