This feature has already been suggested a few times since 2014 (maybe even before that)! It's a feature on iTunes since when Britney Spears was a hit (the first time)! Winamp did it way before that (remember Winamp!?).
It's 2018… Almost 19 and we're still unable to play songs from every artist we follow in shuffle. I don't want to (and can't even) save every song from every artist on a playlist. Who'd do that?!
It seems like such a small thing to implement that not doing it seems almost lazy. I KNOW you aren't lazy. Pleaaaaaase don't let me dooooown! Thanks :)