The alarm clock feature only works with playlists. One common use of audio in alarms is the, gasp, clock radio. I know it’s easy to make an MPD playlist with a stream url. Please add this feature to Volumio so it would be possible to use it as a clock radio.
Solved. Found out how to create a playlist from a queue. The feature I wanted already exists.
It would be useful for people searching in the future if you could summarise what you did…if you had problems, others probably will too. 
I discovered elsewhere in the Volumio forums that you can play a radio station and from the queue panel put the contents of the queue into a playlist. I’ve looked for something like this before and only found it today. Don’t know if it’s a new feature or I just wasn’t looking in the right places.
Like others on this thread, I’d read about putting a queue into a playlist & then using the autostart plugin. This works but the curious thing is that with the radio station playing, there’s the panel to the left of the radio station logo with three buttons (Heart + …) at the bottom, with the ‘+’ button you can add to a playlist and doing so now shows the radio station with ‘- playlist’ next to it. But, the stations does not appear in any playlist so far as I can see?