Itunes not syncing across devices

I am having an issue accessing my music from my Mac on my iPhone.

I keep receiving a message this song is not synched across devices, but when I try to sync in iTunes on my Mac it shows as I am using my iCloud music library for syncing and have access across all devices. when I go to setting/music/sync Library, it is on and if I switch it off to turn my iCloud syncing off it gives me the warning that it will remove all the Apple Music content downloaded on this device. I do not want to lose my downloads that I have been adding for a very long time since signing up for appleMusic.

How do I add the music from my Computer without losing the music on my phone?