Interesting. I always considered Music and Apple Music to be one and the same, but the former is really just the interface to access the contents of the latter. Anyway … my Music app has a crap-ton of albums in my library (all in the cloud, nothing is physically on my phone), but only one album shows up under My Music in the WiiM app. Oh, look, that one album IS on my phone - I must have inadvertently downloaded it. But I find Music easy enough to navigate and just Bluetooth from my phone, so I haven’t really been wanting for an alternative.
But I guess the question for
@SPeck is, are you sure your entire library is physically on your phone? You can see in the Music app when you display the album - in the upper right corner, a check mark will indicate that it’s been saved on the device, a down-pointing arrow means it’s in your library but not on your device.