This is all via the web interface. 
Player is set to shuffle by song.  Add an album to a blank (empty) playlist and
the songs are shuffled.  Let one or two songs play through so you are into the
playlist.  Select some other artist then add an album to the play list.  The new
album will be added immediatly after the currently playing song, the list will
not be re-shuffled.

Actually I thought it was a feature that it didn't shuffle in the songs I had
already heard but shuffled the balance of the tracks :) .  It was not until
later that I discovered that the new songs were added in place and the new
albums were inserted in the playlist in track order... nothing newly added was
shuffled.

Server: Win2k with Active Perl using  SlimServer Version: 6.0a1 23Feb2005 from
perlscripts.zip
Wired Squeezebox
13K+ tracks 
1200+ albums
~1700 artists
Fishbone skin
Slimserver 

Made a guess at the component.
Tnx, Paul