I just tried it on my Win10 laptop with the same version of Zune and it doesn't work either. I was so excited to see this post since I thought the Zune player and services were top notch. Groove's okay I guess, I suppose I'll just have to jump ship some day since I still have a music pass.
One thing that I don't like about Groove is the 1000 song limitation of playlists. I've been making playlists with 5000+ songs for years now on Zune with a mix of my own personal songs and Microsoft's catalog, and won't be able to do that anymore unless they lift the restriction. Plus no last.fm scrobbling support, or ID tag editing sucks.