Just unboxed mine got it as a gift; the only thing Siri does'nt do at all after acknowledging any music request is actually play the music (defeats the purpose); plays every music, radio & podcast only via AirPlay. Siri responds promptly to every other command aside from music
Do you subscribe to Apple Music? If not then as advertised it will be an AirPlay affair. If you are an Apple Music subscriber then Siri should play all the music you request.