Why won't music stay downloaded to my iPhone?

I have been subscribed to Apple Music for some time, and I am finding that despite downloading songs to me device, when I come to play them they are no longer downloaded. Which means when I am out I am having to use date to stream music.

I have gone through all my settings and made sure it is set to automatically download music to play offline. I have searched all over the net and I'm getting nowhere fast! This is so frustrating!