I have to chime in because this is also driving me nuts!
I just imported my library from Spotify to Apple Music, and I just now realized that this isn't a feature that Apple Music supports. Not gonna lie, this is making me feel like I'd rather continue paying for Spotify than use my free Apple Music plan that I get through Verizon. This is one of those features that I didn't realize how critical it is until I notice that it's gone.
IE: I'm at work right now. I'm listening to music on my Mac. The UI for favoriting songs is really lacking (tiny star button) so I figured I'd just look at my phone and favorite it there while I walk to get coffee. Boom, no chance. It really feels like the stone age of streaming. I might as well have just downloaded hard copies of my music on each separate device, because that is the net affect!
Also while I'm here, the fact that I can't favorite songs from the Sonos app is also a deal breaker. This is also pushing me back to Spotify! Please patch the leaking holes because this ship is feeling like one I don't want to jump for!