Adding Music to a Photos Slideshow.

Not all songs in your iTunes Library may be used in a slideshow sound track - songs with digital rights attached can only be played, but not saved as part of another project.

1. You cannot use songs you dowloaded from Apple Music.
2. You cannot use songs of the kind "Protected AAC Audio File" or other digital rights attached.

Even songs purchased from the iTunes Store may still be protected, if you purchased them a few years ago. You can check the kind in the Info for a song in iTunes, in the "File" tab:

If your iTunes Music is in the cloud, play the song in iTunes to force a download, before you try to add it to the slideshow.

Create slideshows in Photos on Mac - Apple Support

1. To select music for the slideshow, click the Music button , click the down arrow next to Music Library, then select a song or songs.
2. Choose Theme Songs from the pop-up menu to see music included with Photos, or choose iTunes to see music from your iTunes library. Drag the songs you selected to change the order they play in. To delete a song, select it and press Delete.
3. Note: If you don’t see your iTunes music listed, close Photos, then open iTunes and sign in if you haven’t already. With iTunes open, open Photos again, then select your slideshow. Click the Music button  and choose iTunes from the pop-up menu to see your music list appear.

You don't see the little music note to the right?