Through investigating a similar question I have found the same thing, you don't appear to be able to create a Smart Playlist for online content.
However if you download the song for offline playback you can
Love it and it will show in the Smart Playlist of
Loved songs. However this playlist does not sync to an iOS device, regardless of it being in offline storage on your iOS device.
I imagine this is a bug, and certainly isn't very user friendly. People are becoming confused by the fact you can
Love a song but it doesn't let you review a list of
Loved songs later.
I would expect an update in future to resolve this, seems like a lack of UX design and testing in Apple Music as there are a few issues like this.