You need to have at least one album folder recognised by Plex, even if you’re freeforming the collection and it’s something as simple as a “Collection”. And it recognises that by finding it paired with the artist name.
You don’t need to create an album for each track, but it needs to be able to identify from the folder the artist and album names. Also what you are adding does seem to be various artists, so the matching doesn’t seem ‘wrong’ per se, just not desirable.
The basic format is
/<path>/<artist_name> - <album_name>/<track#> - <track name>.<ext>
What it looks like you want to add is a ‘various artists’ compilation of sorts, but rather than actually sorting it into Various Artists into a custom group (lets call that an artist too). It means you just need to develop a semi-adhoc naming methodology. If “Old Time Radio” is a ‘thing’ you want to see as an ‘artist’ rather than being lumped into Various Artists (assuming you have other tracks there that aren’t Burns & Allen for instance), you could just name it like this:
/My Music/Old Time Radio - Old Time Radio's Greatest Programmes/01 - Burns & Allen 03-13-47 & The Jack Benny Program 01-17-43 (P1).mp3
/My Music/Old Time Radio - Old Time Radio's Greatest Programmes/02 - Burns & Allen 03-15-47 & The Jack Benny Program 01-19-43 (P1).mp3
etc
That ^ would create an artist Old Time Radio with an album Old Time Radio’s Greatest Programmes.
Personally with that example I’d be creating ‘albums’ for the shows under the artist level to keep it nice and tidy, eg:
/My Music/Old Time Radio/Old Time Radio - Burns & Allen and Jack Benny/<tracks...>
/My Music/Old Time Radio/Old Time Radio - Hitchikers Guide to The Galaxy/<tracks...>
/My Music/Old Time Radio/Old Time Radio - Amos and Andy/<tracks...>
That would give you an artist called Old Time Radio with albums “Burns & Allen and Jack Benny”, “Hitchikers Guide to The Galaxy” and “Amos and Andy”.
But you could certainly drop an entire ‘collection’ into a single ‘album’ folder.
You could go the same way with MIDI tracks
/My Music/MIDI/MIDI - My MIDI Files/<tracks...>
Again, that would create an artist MIDI and an album “My MIDI Files”.
And unreleased band music (though the bands would have had artist names, yeah?, so you could incorporate that)
/My Music/Local Bands/Local Bands - My Band Name/<tracks...>
/My Music/Local Bands/Local Bands - My First Friends Band Name/<tracks...>
/My Music/Local Bands/Local Bands - My Second Friends Band Name/<tracks...>
Finally, artist called Local Bands with albums “My Band Name”, etc.
At least the above has worked without a hitch in my experience (of course then manually populating the posters/artwork).
ed: I know that doesn’t answer the “why can’t get get custom folder icons yet?” Q, but it’s a very workable workaround. We’re already creating a folder to store the tracks in, we just need to prefix a <artist_name> - in that folder name and it’ll appear as an artist/album format allowing the manual metadata editing that can then allow custom artwork.
ed2: beaten 
I took too long 
