So when I insert an album into my 'play everything' playlist, or use the 'same artist' thingy on the remote, it won't pull those songs out of the regular running order?

No, I believe it leaves the rest of the playlist untouched.

But Peter was also refering to the fact that most people's playlists that reference the same song from different playlists, like a classical playlist and a mellow playlist would likely overlap to some extent.