This problem occurs when I am playing music off of my Android phone and controlling it from my Windows laptop, or vice versa.
If I hit shuffle play on one device, while the other is playing, Spotify only shuffles the nearest 40 or so songs, and only plays from these songs. Its very weird. So if I have my music libray sorted by Album, and I shuffle, it will shuffle the 3 or 4 closes albums and only plays from those. But then if I walk up to the device plugged in to my speaker, and hit shuffle, it goes back to playing all songs.