I am in family sharing for Apple Music , I just got added . But the app says cannot connect when I try to play music .

Go to Settings > [Your Name] > Media and Purchases, sign out and sign back in.

Try waiting overnight. It happened to me and the next day it seemed to be working. Alternatively, you can ask to be removed and the re-added to the family. Ask the host of the family to check and make sure that the apple music subscription is shared with family members.