Hello Igor0102,
It sounds like you're unable to play explicit music on your iPhone even though you have set it to allow it in Settings. I can understand wanting to enjoy your music without it being censored. I'm happy to help you in doing so.
Which iOS version are you currently running? If you aren't running the most recent version available for your model, the first step would be to update. Keeping your iPhone and apps up to date help to ensure everything will run as smoothly as possible. Oftentimes updating your iPhone can fix issues with settings like what you're experiencing. You can find steps on how to update your iPhone here: Update your iPhone, iPad, or iPod touch.
After your iPhone is updated, launch the iTunes Store app and search for the explicit song that initially gave you the alert about not being able to play it. Try to play a preview of the song and if prompted to allow explicit content, tap Allow. Once this has been done go to the Music app and see if you're able to now play explicit content there.
Thanks for using Apple Support Communities.
Take care!