I'm having the same issue however I have no intention of EVER using a music service.
I've got 3,000 mp3 recordings in my music directory and both Groove (which I don't use because it isn't reliable) and windows media player to play them.
Cortana, at one time, was able to use windows media player to play local music; then that was broken by updates and the Groove player with its attending service was available. Grooves attending service went away breaking cortana again leaving us with no way to play local music.
for someone who knows how to write a universal windows program a cortana add in to allow local music playing should be fairly simple. Unfortunately I've attempted it and despite over 40 years of programming experience have been unable to get anything to work using VS2017. UWP WORST PLATFORM EVER.