Hello All,
There is actually a very easy turnaround to this issue.
I just tried it, and it worked fine.
Open your iTunes, on your Mac.
Create a playlist.
I imported mp3 files I had on my Mac. Import the music files you need.
Whenever the message stating that the playlist can only contain iCOuld Music and if you continue the playlist will be erased, just say ok and drag and drop your files in your new playlist. This will allow you to add your music files to My Music.
Once imported all the files you need, just click on Done.
After this, I have been able to successfully sync my iPod Nano with this playlist, and... surprise! this playlist also appears on my iPhone now.
Unfortunately, some songs of this group which are already in the Cloud did not sync, so it might be it, also (i.e. not to have those songs in the Cloud in the first place, as it will sync anyways).
I hope this can be of some help.
Cheeers
Claudia