iOS 10 play a Smart Playlist on iPhone Have a Smart Playlist "ALL" made of multiple simple playlists ; that was created with iTunes on a Mac. All the music comes from CDs and is locally on the Mac, and on iPhone (via sync).

After a Sync, on the iPhone (6+, latest iOS 10) the Smart Playlist "ALL" appears in Music that I'd like to play, but there's just a menu
(in "Downloaded Music")


Download
Remove
Add to Playlist (what is that?)


Download? What is it going to Download? All the Music being already locally on the iPhone in the Library.

Must be missing something obvious, I just want to play "ALL", how can i do that?

Edit May 2017

The question was not so clear.It was actually a bug (smart playlists not syncing in iOS 10), and this answer fixed it for me. Basically


go to Library in iTunes (Mac/PC side, not "My Device")
right-click and "Duplicate" all problematic playlists
delete the old ones, rename the duplicated ones to their old name (if you cannot stand the "1" added to the renamed playlist)
go to your "Device" and sync the "Entire Library"
It seems we are talking here about possibility of creating/transferring Smart Playlists from iTunes for Mac to iPhone.

There was such a possibility back in the days, it flawlessly worked with old iPod Nano in the old iTunes, according to the apple discussions. You could configure complicated filters based on given starts for the tracks, genres, years, etc. and to generate the Smart Playlists, which allowed to play the same music with the specific order on your devices.

I checked my settings (the latest iOS and OS Sierra) - and I still have the smart playlists, so Apple haven't removed the possibility of using them. Smart playlists are present in their documentation as well. So it means it should work out of the box.

You have to make sure, you turned on the music and playlists synchronization in your iTunes:


Select the Music tab in the left panel of iTunes. 
Click Sync Music at the top of the iTunes screen in order to sync music to your iPhone.
Click the button next to Entire Music Library to sync all your iTunes music to your iPhone (Please, note, this only works if your phone's storage is bigger than your library. If it isn't, you'll get some of your music but not all of it.)
Click the button next to Selected playlists, artists, albums, and genres to specify which music is downloaded to your iPhone. Sync playlists by checking the boxes in the Playlist section or all music by specific artists by checking the boxes in the Artists section. Sync all music in a particular genre or from a given album by clicking the boxes in the Genres and Albums sections.