When I listen to an artist radio that ends up including music on friends’ servers, the history at the bottom of the main screen only includes the tracks that were on my server.
On a related note, with degrees of separation set to unlimited, the Radio can range pretty far. But if I listen to something else and then come back to that radio it starts over with the original artist and things related to that artist. Could there be a press and hold option on the Recent Plays listings that would allow you to restart or continue the Artist Radio?