Actually, it is kinda stupid by default, now that you mention it. You need to go into the Settings -> Music and set it to sort by "Album Only", otherwise it breaks out song artists into seperate entries in the main directory and ignores what I mentioned above.
The thing that doesn't work with the Zune are albums on multiple discs, because the fucking player doesn't distinguish between disc one and disc two in spite of the software collecting this information, it just shuffles the tracks together based on their track number.
Edit: I see you've noticed. You just need to change the track numbers so disc 2 picks up where disc 1 left off. It's a pain in the ass.
But compilation albums are relatively hassle-free on the Zune (provided they're on a single disc).