You’re veering way off topic here, but one solution is to make playlists in MSC mode with Winamp.
I’m not sure, but if you do this it may be true that all the files have to be on the same drive–that is, you can’t play one from the internal memory followed by one from the external card. Test and see for yourself–I could be mis-remembering.
I use Windows Media Player as little as possible, but you might try leaving the Clip in MSC mode and seeing if you can get WMP playlists to work on it in that mode.
MTP was originally intended to have the Sansa controlled by Windows Media Player, in order to be (supposedly) idiot-proof like iTunes and doPi players. However, WMP has quirks–like renaming folders for its own mysterious indexing processes. Instead of just copying things directly, as in MSC mode, you are processing everything through WMP–your Sansa is no longer a couple of storage drives, it’s a Virtual Device in your computer. Whatever.
The real point of MTP mode is for things like subscription services–Rhapsody–and library audiobook downloads. Those come with DRM (Digital Rights Misery) codes that unlock the files for specific conditions (like the length of a library checkout). Those HAVE to go via MTP mode, which transmits the hidden codes along with the files. If you’re not using DRM material, MSC gives you more control and less weirdness.