If you bought the Dane-Elec version, you haven't the Fm radio on your firmware
But it isn't a problem, the FM antenna is in your player, so if you upgrade the firmware to the last one you obtain the radio.
The last firmware for the SL is 2.004.6, here
2.004.6 Official Release SP\TP\SL
Read the FAQ if you don't know how to upgrade the firmware
Meizu Me - FAQ: Meizu Mini Player M6 FAQ
If you have problem, post here, i'm glad to help you