I've been experimenting with this and I think I have a theory. Apple Music and the iTunes Store are probably separate components–that can be discussed somewhere else. However, like you, I've searched for artists on the iTunes Store and could not find a "Follow" button on their profiles. However, if you choose one of the Apple Music related tabs on iTunes on your Mac (For You and New in particular), then use the search field on iTunes, you'll a list of results for that artist in that section's tab and if you click on the Artist's name, you'll get a slightly different looking biography page than the iTunes Store and on the top there'll be a Follow button. I've tried searching for the same artists both on the iTunes Store tab and the New tab and have found this disparity to be true. So, if you want to find a band or artist to follow, search on one of those Apple Music related tabs. Also, if they're actually active on Connect, there should be a Connect tab beneath the artist's banner next to My Music (if they're in your Library) and All.
You can also Follow and Unfollow artists by setting your My Music view mode to Artists, then select whatever artists you have listed on the left hand column. The same Apple Music bios will come up and if it's available (not all artists seem to be follow-able), that button will be there.
Now Apple, you need to make Connect Management a lot more intuitive than this. How about an "Unfollow this artist" option on the Connect screen next to the artist's name? Also, I read here: http://www.computerworld.com/article/2944213/apple-ios/14-more-apple-music-tips. html there's a way to manage who you're Following on iOS by choosing Account, but why is there no such option for iTunes on the Mac? Please bring this feature to OS X.