You can download all songs in a playlist by tapping the red down arrow at the top of any playlist. If you want to check all songs to see if they're all downloaded, go to the Library menu and tap Songs. Downloaded songs will show a down arrow next to the 3 dots. Any songs without the arrow are not downloaded. Download those by tapping the 3 dots, then tap Download.
I did that last night. I was looking for a download all but I guess Apple hasn’t implanted that feature yet. very tedious work