There should be a playlist option in the same menu as Audio. You should find your playlist there.
As all systems, it may take some time to find out the best way to do stuff in LMCE. And in the media section this may be very obvious, as many compare LMCE to other media centers. But don't let the name fool you, this system is a more a home control solution than a media center, the media section is only a part of it.
However, there are plans to redesign the UI for the next release, so stay tuned.