It’s a bit weird, but you need to carry out the action in the Sounds app and the open the Shortcuts app and the Sounds commands will be available to you. So, for example, open Radio 1 using Sounds then open Shortcuts and you should have an option to start streaming Radio 1.
I have created a Shortcut to open Radio 1, 2, 4 or 6 which I find works reliably for me and my wife. [link via iCloud]