I had the very same experience and that was only the nice part of the whole story.
iPhone 6 plus, 128G - iOS 9.1 - Paying for Apple Music subscription.
I had to log off in order to load in MY phone a number of MY tracks which do not exists on Apple Music (some mixes and music for my daughter). Then I logged back and found iCloud Library set to off (it was on before) and all the library was gone.
All right:
- set iCloud library to ON again and started to download all the tracks again - and that's fine,
- two playlist of my favorites were empty - and that's fine,
I was on wifi and before leaving home I set Setting > Music > Use Mobile Data to OFF
Then I left home and after 10 minutes I received a text message from the carrier saying that my monthly data traffic was near to be consumed:
- Music app was downloading, double checked the Use Mobile Data setting (still OFF) and killed the app
- after 5 minutes another text from the carrier said all the traffic and credit was gone!
So, on Sunday and far from any kind of place with a wifi and without the possibility to pay for additional credit (no data connection...) I had to wait my return to home.
Back home finally:
- the download started again, but from the scratch!
- the two playlist are still lost
- still struggling to get additional traffic (I need to upgrade to my sim and pay more)
Thank you Apple Music! Really nice graphics and contents but you've missed all the basics. You're still far from the high level standards all Apple users were used to experience in the past.
I'm sadly forced to go back to Spotify.