the windows way is a intergrated microsoft solution though, connect 360 is just something put together to work by a 3rd party for us mac users.
I think thats why you just see it all alphabetically instead of by folder. Possibly they just didnt want to do it that way, or its just not possible with the sharing structure.
I just got to the point when i wanted to watch stuff i just moved it to that 1 folder and moved it out when i was done and also ignored the itunes play list because most of the stuff i wanted to watch wasn't compatible with itunes anyway.