Oh, I see what's happening. It's not what I meant though.
When I double tap on the back button, while shuffling through music, it goes to the previous song on the list of music. So, if I'm shuffling through All Music, sorted alphabetically, then it will go to what ever song is right before the current song, alphabetically.
What I want, and what most people want with this function, is the ability to shuffle music only with the forward button. The back button will go to the previous song played.
However, if your DX50 is actually going to the last played song, then you are one lucky guy! Either that, or mine has selective bugs.