When I click "new station from song" in iTunes 12.2 the currently playing song stops playing and as far as I can tell nothing else happens. Does a station get created somewhere? I can't find any radio stations except for the official Apple ones in the tab "Radio". I am subscribed to Apple Music and signed into my iTunes account.
Seems like this is a bug in iTunes, happens to me as well as others. There's a few posts on the apple support forum:
There's more if you search there, but no solutions available.
Bug is fixed for me in iTunes 18.104.22.168