Never mind, I figured it out. Although only because I was struggling to figure out how to create a playlist generally speaking, as that option seems to have been taken out of Media in Gutenberg. Totally weird! As if us musicians don’t want to include our custom music players any more on our sites! For those having the same issue, use the shortcode widget in your block (I think it works in either page or post). You can use something like this shortcode: [playlist ids="129,126" style="dark"], and make sure to add your own audio file IDs from your media library. See more custom options here https://codex.wordpress.org/Playlist_Shortcode.
Then to add the sticky header audio player, like in the demo, just go to Customizer – Theme Options – Header Top Playlist – and select the page or post from there. But creating the playlist with shortcode is the answer since you can’t do it in the Media Library any more.
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