First of all, shaaaaaaame. This problem has persisted since 2016, solutions have been offered.

Step 1. Set storage to SD

Step 2. Download a playlist

Step 3. Reboot device

Step 4. Presto chango. Your playlist has vanished in thin air and your storage location has transformed from SD to Internal.

The way I understand it, the mysterious vanishing of said playlist is caused by the fact that some (?) android devices take a while to finish reading the content of an (encrypted) SD card. Spotify however reads the SD card as soon as the device has finished booting. How is there not an option to prevent Spotify from reading the SD card before the SD card has been read?

Much love, love your product, that's not sarcastic.