There are three options that can prevent XMPlay advancing like that: "Stop at end of track" (right-click menu of stop button), "Stop at end of queue" and "Stop at dead track" (Options & stuff -> Playlist -> List advancing). Naturally "Auto-advance" must be ticked too.
"Stop at dead track" would be pretty obvious, so the culprit is probably one of the other two. You might check your shortcut keys, and make sure you don't have "Current tack - stop at end" tied to the same key with another option you use, or that it's not made global to a key you use elsewhere. Then there's the queue, which should be pretty easy to notice too (this one doesn't seem to have a shortcut key available yet).
Ian, you could add the shortcut key for the latter one here too, if only for completeness's sake