I'm running iOS 8.4.1. When I go into to the app settings and tap to enable the iCloud Music Library, I get the Replace or Merge. After this the option reverts back to off automatically. I tried lots of times, rebooting the phone, switching airplane mode on/off, but still the same...
UPDATE: I spoke to apple support and it seems like the "iTunes in the cloud" functionality is not available for certain countries yet, so there's no way to enable the iCloud Music Library and therefore there's no way of creating playlists, saving music offline or adding a song to "my library" feature. To me that almost cripples Apple Music app... disappointing