Did you set the tick-box for "return after every chapter" in your menu? If so, what you are seeing is the normal behaviour; Studio treats each separate section that ends in a return-to-menu as a new DVD-title.
The fact you can still step through the disc is possibly a peculiarity/feature of your particular DVD player; other models may not allow that and show you a "prohibited operation" symbol if you push "previous chapter" or "Next chapter" buttons.
Regards,
Richard