Does the SanDisk Clip Sport support class 10 microSD cards? Need solid answer for a future purchase.

YES. You are correct. All the audio files in one unified folder under Music. Then use Folder mode wih the Shuffle command.

There is another way to enjoy Shuffle using Folder Mode with audio files distributed within several subfolders under Music.

    You could try creating Playlists of files that reside in multiple subfolders. 

    Then, you can use the Shuffle command when you start playing the playlist. 

There are several discussions in this Forum of how to create Playlists with accepted solutions.