Last time I needed to do this was 2006ish. Like I said it’s been a while. Worth checking into though. Might need the cd burner installed (or emulated) for the option to be available.
I also seem to recall that thee were a couple of projects attempting to strip the DRM off of Apple’s proprietary music format. Not sure how those turned out.
And no, as far as I know, it is not possible to go straight from Apple Music to mp3, or whatever format you prefer. It has to be downloaded to iTunes first.