Even native music players don't get classical right. It's virtually impossible to shuffle through a classical music library because you always get plopped in some movement in the middle of a piece. I've always wished that there were a way to group certain pieces together so that all the movements are treated as one piece for the purposes of shuffle. I remember someone else making this complaint about three years ago and, to my knowledge, nothing has happened since:
The closest you could probably get right now is editing cue files. Years ago, I would group together certain series of Pink Floyd songs when I converted to mp3.
http://sigma-star.com/blog/post/startup-idea--classical-musi...