Yeah. I have iOS 9 Beta 2 running with apple music installed and the songs can't play on my watch while on beta 2.
EDIT: okay weirdest thing. I just checked and now it seems to be working? perhaps after an overnight sync? It didn't work yesterday when I went for my run.
To sync, they have to be on the charger. So if you didn't put the watch on the charger until last night then it all syncs. Just as a heads up!