Select the files, and Tag
find the [series] tag, enter the box set name.
find the [album] tag, enter the album name (for example, Blues Women Anthology Vol 1)
find the [disc #] tag, enter the disc number. in your case, it will be either 1 or 2, since each individual volume has two discs
that will give you something like in the first two screenshots, where the discs have separate names. to view the albums as part of one set, you will need a view that looks for [series]
alternatively, you can name the [album] for all the files as the boxset name (for example, Blues Women Anthology)
find the [disc #] tag, and enter the disc number. in this case, you will start at 1 and end with 16
this will give you something more like the last screencap, where there is one cover art rather than one for each disc, and the discs aren't named differently. you will see the album in a normal [album] view
you can also use custom tags to give you any level of sorting you like. there are many ways to achieve the same thing