Is SONOS working on playing direct from the music on my phone?

Not likely, at this point. It has been banned by both Apple (iOS) and Google (Android). They left open the options to use AirPlay 2 or Bluetooth, though. 

Banned? Why?

As near as I can tell, both think that outside devices using their on board  memory as a ‘Hard Drive’ is a security risk. Not sure I understand that, but it wasn’t just Sonos that was affected. 

Why can I “hook up” almost every device from my mobile device to any BT or Wi-FI with zero problems? I just don’t get it.

If you have new enough (built after Sonos installed Bluetooth hardware in their devices), you can use Bluetooth to send any signal to the Sonos. 

As to the specifics as to why Google and Apple chose to take this course, you’d likely need to ask them what security hole they thought they were closing. But just because a device can connect to a network doesn’t mean that device can allow outside devices to access the data stored on it. Essentially, the connection is restricted to specific uses. Sonos (and others) were using the method that got closed. 

Note that the use of Bluetooth or AirPlay 2 require the ‘player’ to be on the device, and the OS sends the audio to the Sonos speaker. Sonos works the other way, the ‘player’ is on the Sonos devices, which gets the music from the ‘storage’, and then plays the data it receives.