Do you have a folder with text characters that may not be supported (such as other than 0-1 or A-Z)? The albums should appear in the folders that they're transferred over to, unless some of of the ID tagging varies. But they should be appearing.
I did notice that a firmware update for the player is available that addresses some incompatibilities with WMA files, and that's update version 2.22 which can be found here:
You may need to install the update for proper playback.
I had WMA albums on my P3. They played no problem. I would open the album, pick the song and go. I then removed the WMA (by formatting) and loaded albums in MP3. When I go to the P3 menu under "albums", I get nothing, but one file marked as "unknown" containing nothing, but under songs I get all of the songs on all of the albums listed, in number order (all #1 from albums together, #2 together, etc.). When I look in to the internal storage of the P3 on my PC, it shows the albums with correct songs contained. Is there something missing from the MP3 file that would hold the album together when downloaded?