When instructing Siri to play something on macOS that is not in my music library, it says, for instance, "You don't have anything by [artist] in your music".
I can see that it suggests other sources, including Apple Music.
It does not work on the latest macOS (10.14.2, 2018 MacBook Pro), but it does on iPhone Xs with the same Apple ID and subscription. When I open iTunes, I can see that the subscription is active and I can play content from there.
Is there a setting that enables Apple Music as source for Siri on a Mac?