I've never rally been able to get it to start playing automatically for me. When it does do that it does an auto mix anyways and I usually want to listen to a particular album. So, I don't mind it not starting automatically if it's just going to do an instant mix.
Along the same lines, it won't play an album if I specify that either. At best it might play the title track of an album if I ask for it to play an album.