The FiiO JM21 is not displayed in the Finder under macOS Catalina 10.15.7 because the Mac system does not support the MTP protocol. To access the files anyway, you must install the free "Android File Transfer" app.
Quick guide:
Download Android File Transfer and install the app.
Connect the JM21 to the Mac via USB-C.
Open the app - the memory is displayed.
The device does not appear in the Finder itself, this is normal. For pure music playback on the Mac, you can use the USB-DAC mode.
I have now loaded my own music onto the Fiio. Is there any way I can transfer it to the Applemusic app? Now I can only listen to it in the Fiio app. Thank you!