No, nothing's wrong. That's the way the iPod sorts music. In the days when the 1-3G iPods reigned supreme, there was no music item on the menu. Instead, there was a playlists option and a browse option. browse brought you to a few choices. Songs, genre, artist, album. When you went to genre, you could then go to artist, then album, then specific songs, if you chose "all" every time you got the chance. If you want to see your songs, you should just press "all" again.
Oh silly me, i was wanting it to take me two all artists, but now i realize i was already there. lol thanks for the help. It would be cool if it took you to all songs though cause i never browse by album.