[GraemeJ]

It seems like if I play songs from a set list, the songs do not show up under the "Recent" filter.  Instead, the set list shows up.

I hadn't noticed this - seems it only occurs when you 'Load All' a setlist.  Selecting individual charts from within a setlist behaves as you would expect.
That said, I think you're right and it might make more sense if the individual charts showed up in the 'Recent' tab as you cycled through a setlist.
OTOH, I suppose one could also argue that a setlist is, by definition, a set of charts in a specific order and there is little purpose in displaying them again as 'Recent', since the whole point of a setlist is to display and play those charts to completion of the set.
It probably depends on how difficult it might be to implement such a change, before considering if it is really needed.