Tools > Preferences (All) > Playlist > "Automatically preparse files" should load all playlist files and directories
for clarity:
fPlaylist = a playlist stored in a file ( *.m3u, *m3u8, and *.xspf )
vlcPlaylist = the playlist VLC plays when it's running
fPlaylists and directories are loaded when you attempt to play them, but not if you don't attempt to play them.
This can be a problem if, for example, you add two directories to your vlcPlaylist (a 2-part cd perhaps) and set VLC to random. The first randomly chosen directory will be fully loaded, but the other won't be, and now that other directory has a very low chance of ever being played because it's outnumbered by all of the files that were opened from that first directory.
Also, if you add a directory to your vlcPlaylist, and that directory contains a fPlaylist, the fPlaylist will not be loaded when you play the directory. VLC appears to recognize it as an unplayable file, because it removes it from your vlcPlaylist (though pdf files are kept even if they don't contain audio or video?).