The Aios media player is the same way. It plays everything in the folder but tends to pause a second, show network speed, then play the next file.
I also have a WD Live and I think you can set it to play all files in a folder and it seemed when I did that it didn't pause much, and doesn't so all the network testing my Aios likes to do.
For me I'd like to turn off the auto play function in the Aios as most times I fire it up to play my latest edited captures and there so far is no option to turn that feature off and I usually have a bunch of oddball and older videos I don't want to watch once I'm done with the ones I pick. Pivos is heavily supporting the Aios and has a big community working on hacks and upgrades to the firmware, which they support, but so far no fix for the auto play one way or the other though it's been mentioned and MAY eventually get something done for both issues.
The WDTV live also has a HUGE community that has made enhanced firmwares with much better options and support so if your player supports it you might want to check it out and see if their versions make it do what you want. I run their goodies on my Live and it really improved everything about it.