i will post my exact keypresses
maybe im missing a subtle step...

i choose to play music by all artists
i now have a currently playing playlist consisting of 2068 tracks
viewing the playing screen with vu meter

Menu press
down - down - down
]red press (on bookmarks)
a pause, while hourglass is shown
red press (on set)
the default name shown is "All by Select Artist: 3 Murders, 3 Nights"
red press (for done)
back to the vu meter screen
Menu press
down - down - down
red press(on bookmarks)
a pause, while hourglass is shown
down
red press (on select)
"Select Bookmark
- None -" is all that is shown