I like to select each episode individually as well, but this is a special case. I'm glad to be able to watch the episode as it originally aired. I'm not sure why they didn't just include it as one episode, but I guess this satisfies those who want the syndication version as well (though, I understand the second episode doesn't have any credit information at the start or a title sequence).
Pilot episode aside, the disc structure is apparently how Universal likes it, as it's just like the A-Team (and Quantum Leap, I believe): the main menu has Play All, Episode Index, Languages. When you select Episode Index, you get a list of all the episodes on that side of the disc. Select the episode you want, and you go to the typical Universal episode page, with a text summary of the episode, a Play button, a Scenes button, Languages, Episode Index.
I apologize if you knew all this. I'm not sure if that is the structure you are saying you don't like. The worst one I can think of is Smallville, where you are forced to use the chapter list to start the episode. I have to avert my eyes so I don't see what's going to happen.
Also, the trailers at the start of Magnum are fairly annoying. You can skip them with the Menu button and the disc even informs you of that, but I still wish it would just go to the main menu directly after the FBI warning. If they want to include trailers, put them in a sub-menu I can access when and if I want to see them. The "and if" part is what makes them put them up front, but it would look more professional and be less annoying my way.