If you hold down on the track then choose “Play Now” that should play only that track.  If you tap on the track you wish to play it will play the track and also load the entire playlist into the queue.

 If the playlist is large you may get errors that may or may not sort themselves out after a short time or after a couple of attempts.  Seems like Sonos times out the process too soon causing an error to display.

 First screenshot show context menu that shows after holding down on a track.  Choose “Play Now” to play just that track.

 Second screenshot is the queue showing only that track has been loaded and is playing.

Nope, when I click a song in a playlist nothing happens. I can click it multiple times but it doesn't change anything. 

 Are you on the Sonos app on a computer?  The word “click” makes me think so.  If you are on the mobile app you need to hold down on the track to get the context menu to pop up where the choice “Play Now” is shown.

 I hardly ever use the PC app except to re-index the local library.

 I’ll try playing from my Windows 10 app to see what happens.

 On my Windows 10 PC Sonos app when I open an Amazon Music playlist so that all the tracks show I have to “right click” on the track I want to play then choose “Play Now”.  If I want to play the entire playlist I have to be on the page where all the playlists show then “Right Click” on a playlist and choose “Play Now”.

 I apologize if you already knew all this stuff.