A lot of people are making this mistake at the moment, the like/love button in Apple Music is not for creating a playlist.
It's there to tune the 'For You' section in Apple Music to your tastes so it can better make suggestions of what music you should try out next.
As you've pointed out in your comment there is an ability to create a smart playlist of
Loved songs in iTunes, however this is only referring to songs that you've Loved that are physically in your iTunes library, i.e. songs that you bought or ripped from a CD.
It is confusing but
Loved in your iTunes library is unrelated to
Loved in Apple Music.
I've been playing some more and I managed to get the Playlist to include a song I
Loved once I had downloaded it for offline playback in iTunes and then marked it. However this doesn't sync to my iPhone through iCloud Playlist Sync.