Every other program does this. Bar none.
If you play a song from search, it will not keep playing. If you however go to the artist or album and play from there, it'll keep playing.
I've had spotify since the private beta (february '08 iirc), and in total I've paid for six months of it. They used to have close to everything (except for The Beatles, they were never on there
), even more obscure noise/breakbeat stuff and rare black metal demos (at least according to my friend who is pretty kvlt). They started removing stuff because of copyright claims or similar, and started putting different limitations on the free service (started interrupting for commercials, ads on the application and finally a limit of music per month). I no longer use it, but it's great if you're not too picky about owning the music.