I know this features on the ipod, i dont know about other devices
Rockbox is Rockbox. Bar hardware specific differences (e.g. radio and recording), and button mappings it is virtually the same on all targets.
Make sure you have recursively insert directories turned on, and select the highest level of directory you want to include, be that the root directory, or one called music etc, and insert that into a playlist. If it is root, then do as Llorean said.