Sadly, FM radio is not supported on that phone. I'm upgrading from the Moto X Play to the Moto Z Play (due to the amazing price of the phone on Koodo). I sim-unlocked my Moto Z Play for $3 on eBay, haven't started using it yet (I ordered some accessories on eBay for the phone).
As an alternative to FM radio, I got a USB FM radio from eBay for $2! Will use my massive battery in the Z Play even more slowly by playing radio off a separate device...
A lot of phones may have the required hardware to support FM radio, but don't enable it in the firmware. Some phones are said to have FM radio enabled by installing a ROM (for instance CyanogenMod) or even modifying the build.prop.
There's been a brief discussion @CRTC for pressuring carriers to have FM radio available on all subsidy phones, carrier replied saying that it depends on manufacturer.
It's true that carriers including Koodo offer subsidy phones (primarily budget to mid-range phones) with FM radio support.
If you want FM radio on a higher end phone, you may have to wait until you can sideload a ROM that'll support it, and even then, not guaranteed to work on all handsets.
Back to OP, yes, it's a big disappointment for us who grabbed a Moto Z Play from Koodo, especially coming from a 2015 Moto X Play (which has FM radio support). Only suggestion I have is to order a separate FM radio device and listen to FM radio off the separate device. Your phone battery will last longer this way.