I've tried what you are talking about in the past, but I've only ever got it to work by selecting the song on the iphone. I think what you are trying to do is stream your music from itunes match over 3g/4g. If I recall it downloaded it to my phone and then played.
In all honesty I gave up on streaming and just bought a 32gig flash drive. I have more music on that that than I care to listen to on my drive to and from work and I don't have to worry about eating up my monthly celluar data.