Yes, I can confirm this as well. I've noticed this but didn't give it much thought. What I usually do is create a Misc sub playlist and dump songs that don't belong to a playlist themselves.
Example,
---------------------------Genre------------------------------
---------------------------Arist--------------------------------
Album1 ----- Album2 ------ Album3 ---- Misc----
song-song song-song song-song song-song
Songs that don't belong to a particular album such as live or bootleg recordings will go into misc.
I haven't found any better way to handle this due to the problem you describe.
Anyone else??