[Zubersoft]

Yes, that is because, if you are exporting individual songs, there is no information about setlists stored in the song metadata. You'd need to export the setlists themselves to .msf (go to the Setlists tab, long press the setlist, tap Share->Export songs and files), and then all of the setlist information will be captured. It is handled this way so that the same song can be added multiple times to the same setlist (which is certainly a feature that some users utilize). This is not true for other metadata types like Collection, Genre etc - a song can only be added to those fields once. 

Mike