It appears one has to create new playliste (? your word?) that work with the Sony. I don't see a great manual on this but folks have noted, yes, that happens.
What I'm also seeing is that folk tend to not document or dive in to rescue new users of such things. For me, I went with an Android since I can pick better players that play playlists.
I just bought a Sony MWZ-B183 MP3 player. I copied all my music which are grouped in distintive files by album. When I start playing all the files are all mixted up.