Confirmed. When adding a second song to the playlist the RhythmBox appears load the song. Upon completion of this the song is ignored and the music continues to play.
This bug is probably caused by the way RhythmBox works. Rather than loading and playing music straight from file it loads the song into the library then when you press play it looks in it's library instad of looking at the file. Since it would make no sence to have a song in the library twice, when you import the song again it simply treats it as the song you already have stored.