Yeah, I use YouTube Music Premium too. It's very weird to me how they link a lot of stuff from YouTube to YouTube music. It would be a lot better product as a stand alone service without tying your favorites and playlists and everything to YouTube as well.
That said, I think you can go to the "Library" (bottom right icon in the app) and there's a "New Playlist" icon. It works like YouTube and if you go to YouTube you'll find the playlist there too.