Same for me and was always the case when I tried that since using Roon (2.5 years). Since Radio never plays whole albums, I took the description in the help always to mean “everywhere” despite it only mentioning radio
That has always been the behavior. I tried to get Roon to extend the interface to add something that would ban the track just from the Radio but they would not do it. They did add a tag (ROONRADIOBAN set to values 1 or true or yes) that would allow tracks to be banned from the radio but that is just too cumbersome to use in practice.