Playlists (.m3u or .pls) are made up of tracks (each of which is stream, usually .mp3). You can open a playlist with the audio player, but you cannot add a playlist to the playlist. You have to add tracks from the playlist to the playlist.

If you want to add a radio station to the Favourites playlist (the one that drives the homepage audio player), first open the playlist in Audio Player (or with a browser), then "right-click" (hold the stylus down) on one of the streams that appear in the playlist, then select "Add to favorites".