I am running iOS 14.2 beta on my iPhone, and Music will play to the end of an album or the end of a playlist, but it stops there. However, you can create a playlist of playlists, and it will play to the end of all the playlists in that playlist. While I haven't tried it, I expect it to be possible to nest playlists three four or more levels deep. I see no reason why you couldn't create a playlist that includes all of your playlists.
