Apple Music - trying to load Cloud library

Hi all, I've just recently signed up with Apple Music and having difficulties downloading/ saving songs to playlists - it keeps asking me to "Merge Library" on my Cloud but I haven't any tunes on my Cloud. This results in "Error occured" coming up. Anyone with know how on where to point me to and get it up and running?

My Apple Music library is stored on a 2TB external SSD drive and not on the iMac which I use - would this be an issue (153k songs)??

Many thanks for reading and appreciate any responses.