Best answer by Keith N
There are two systems at work here: Apple Music and your iTunes account. If you purchase a song, it belongs to you and is available to you in the "My Purchases" section in the iTunes Store. These songs are yours to do whatever you wish and are DRM free. Apple Music allows you to stream and download songs you haven't purchased to your library. The tricky part is when you go to the "Music" application on your phone. You won't see a difference between the two types of files, this is because your iTunes purchases (DRM free) are automatically in your library mixed with the songs you've added from Apple Music.
When you save and download a song from Apple Music, it is saved as a specific file type that Apple software can read. You will only be able to play that content through the "Music" app on your phone.
When you download a track that you have purchased, it will be DRM free and in a format that can be read by Sonos.
Alternatively, if you have an Apple Music subscription, I would suggest using your Apple Music credentials on Sonos. After, head to "Browse" -> "Apple Music" -> "My Music" -> "Playlists" and you should be able to "Do Anything For Love" in no time.
Perhaps you used to access the playlists this way, rather than "on this iPhone"?
Side Note: Looks like you might have an update available on Sonos...