I am another one who lost all my downloaded music after I 'upgraded' my iPhone 6S to iOS 9.2, although it didn't happen immediately. The only problem I noticed initially was that playback in my car (the only place I use downloaded Apple Music) became very unreliable and almost unusable.
Then a few days later I received a text from my mobile company telling me I had used 75% of my data for the month. I've never done that before, but I didn't realise at that point there was any link to my Apple Music problems.
I thought the playback issues were down to connectivity problems and I couldn't see a problem in Apple Music.
I then received a text from my mobile company telling me I had used 100% of my data allowance for the month, which I now realise from having researched it is because Apple Music was syncing music over the mobile network.
All along, my downloaded content seemed to be present and correct in the phone and gave me no reason to suspect anything was wrong.
Over Christmas I made some videos using the phone so I synced it to Photos on my Mac and while there, synced iTunes as well (Apple Music is not enabled there). iTunes informed it was syncing my entire library of 7000+ songs (despite them already being on the phone) but only actually synced a couple of hundred. On disconnecting the phone and checking Apple Music I found all my downloaded Apple Music content had been deleted.
Not just deleted but erased from my profile altogether. There was no sign of anything I had added since I switched from Spotify to Apple Music. Even switching off Apple Music and re-enabling it made no difference, I have no trace whatsoever of anything I have added so now I have to try to remember, and I'd added a lot.
Apple's 'It Just Works' and Apple Music's 'Don't Miss A Beat' are laughable. Apple Music is still in beta and Apple's quality control is a disgrace.