Because of my crazy method of using "always randomized" playlists I actually do exactly what you're trying to get at. This works since the player isn't ever really in a shuffled mode, therefore whenever I insert an album it comes out in the proper order. When it's finished I get returned to the previously shuffled list. Since you don’t use the player the way I do this doesn’t help much, but I can at least say I understand why you'd want the shuffling to work that way. It's very efficient and slick, and much less work than using bookmarks.

As Bitt said earlier though, I think there is probably a technical feasibility issue because of the way the software handles shuffled playlists.