Yes, BASS's playlist support (BASS_CONFIG_NET_PLAYLIST) is only really intended for internet streams, where multiple playlist entries are alternative servers for the same stream. The extra URLs will only be tried if those before it fail to open.
If you would like to play all of the playlist entries, you can implement that yourself: open the first playlist entry and set a BASS_SYNC_END sync on it before playing, and then do the same for the next entry when the sync is triggered, and so on.