Hmmm... I didn't used to agree with modelmaker's position, but having thought about it for five seconds or so, with only one pot of coffee working its way through my sleep-deprived system, I agree.
Imagine the artist named "John Bigshot". Put his CDs under "B" for "Bigshot". Now, let's say this artist starts working under the name "John Bigshot and the Stupid Users". Where will you find the CDs then? Under "B", still? Or under "S"?
Put it under "J", as a group name (as modelmaker describes), and it's simple no matter what. It's also consistent across all artists, even if John Bigshot turns down the idea to start tacking on the moniker "Stupid Users".
So yeah, I think it would inarguably (yes, inarguably) be simpler if all artists were filed by first letter. The one exception to this should be those who begin with "The". You couldn't file all "The..." artists under "T", because then you'd have 4,000,000 artists under "The...", which would be a pain.