If you're asking if Apple has made it a feature, then the answer is no. But there are some creative ways to name and/or tag your movies for a higher level of control. None of these are as ideal as Apple actually giving us movie playlists. The only thing that could possibly prevent them from adding it is the fact it really doesn't help pad their fat wallets.
For example, since you have more control over grouping TV shows, you could tag all your Kids movies as TV shows, and label them all "Children's Movies" in the show field. This way you'd have them all grouped under the bogus show named "Children's Movies."
Another idea would be to manipulate the filenames to show up in the order you want. Whatever genre you wanted to show up first in your long list could be renamed with a single space before the movie title, the next genre's movies could all have two spaces, etc.
Again, not ideal, but at least you could group them the way you want.