Can iTunes auto play a song related to the one I've just listened to (not in a playlist)?
So, apparently that's the radio / station feature. Just need to click the three dots button of a song and select Start Station.

Thing is, that button (Start Station) was grayed out for me. According to a random suggestion I found here, I was able to solve it by deleting the preferences file from my library (%USERPROFILE%\Music\iTunes\iTunes Media\.iTunes Preferences.plist on Windows 10).