You're probably looking at the [Link] tag in each song right? The number you see displayed there is the File Key of the next file to be played. Or the "link" to the next file (song). If you look closely, you'll see that all of the numbers in the [Link] tag are different. Because each one refers to a different file.
If you go to a view where you are looking at these files and add [Link] as a column, then add an expression column with the expression:
=filekey()
You will then see that the [Link] in file A is pointing to the file key of file B. Then B points to C, and finally C points to D. D does not point to anything because it is the last one in the chain of files to be linked.
A set of files linked like this *should* act like one track when you play track A. As long as you have gapless playback set up. If you have gapped playback set up, then you'll hear the corresponding gap between each track. Unless of course you have "gapless for sequential album tracks" enabled *and* A, B, C, and D are sequential tracks from the same album. In which case, playback will be gapless. Whew, I'm tired now.
Brian.