Needed to make sure, if you have a playlist (or make one) in YT Music you just need to remove the music part of the domain and Grayjay can open it and then you can download it.

This is a random YTM playlist I found, saved and then got the link removing music.

https://music.youtube.com/playlist?list=PL4uiBcH3tufiSPCn-Hg2Vf-wHef7dq-dz