Does "Never Play This Song" apply to one station, or all stations?
I believe the "Never Play This Song" applies to just the one station. 

Apple clarifies this in their page for Apple Music Radio - https://support.apple.com/en-us/HT204944

"While listening to your custom station in Apple Music Radio, tap or click the star icon star icon to fine-tune your station. Tap or click the star again to tell us to Play More Like This. Tap or click the x icon x icon to tell us to Play Less Like This or Never Play This Song."