Play-through-folders is a FiiO Music setting. You have to scroll down a ways to find it. Works fine on my X5. For example, Neil Young Decade has Disc 1 & Disc 2 sub-folders. If I touch the play icon on the parent folder, plays disc 1 and then goes right into disc 2. That's what you're looking for, correct?
So when I press the parent folder, it moves to the next screen that shows the sub folder, if I press play it will only play the first subfolder