I have a Samsung Note 4, I have several songs on different playlists that will download when I'm in online mode, then as soon as I go offline, it shows that they need to download again. For days it has been this way. I also cannot find my saved radio stations on my phone, they are there on my Kindle and computer, but not my phone. Lollipop update is to blame I believe. It started after that upgrade. Had issues right after the upgrade with bluetooth, but that seems to have worked itself out. So frustrating!!!
I experienced it not so long time ago, too. The fix for me is to turn off Windows Firewall and made sure my devices are in the same Wi-Fi network. Also, make sure your router setting for uPnP is enabled.