To play all the songs on an album, you select the album rather than the 1st song. That is, from "covers" or "albums", press "GO" before opening up the album (i.e. <<), or press "GO" with just the album name selected, not an individual song.
Similarly (this is something I just learned and have updated my original response), if you press "GO" while an artist is selected (without opening up the artist (pressing <<), it will play all songs from that artist, but not necessarily in order by album - I haven't quite recognized how it is selecting the order - it seems random.
I don't believe the last request is possible.
Stan