I am using Amarok 2.0.2 with KDE 4.2.2 with Mandriva 2009.1.
I would like to play a single music file that is not in my collection.
I used to do this as follows:
  Select Amarok->Play Media... and select a file and click OK.

Now when I do this:  ... nothing happens.

Similarly Playlist->Add Media... add a file, and then ..nothing..

Now I can only play music which is in "my collection". 

Is this a bug or a feature?  Am I missing something?

You should really upgrade to 2.1 or ideally 2.1.1. We've fixed tons of bugs in the meantime, so it might just work now.