It maybe that you are not choosing the right Shuffle and Radio. See the pic below:
I have selected 2 albums while in album view (Christine and the Queens & David Bowie). If I then click the Shuffle with the blue circle OR the radio next to it (hidden by the down down), it will ignore the selections and play a Shuffle or Radio on your whole album collection. If I instead, having selected those 2 albums, click on the down down (shown in the pic) and choose the Shuffle I’ve circled in Red, this will shuffle tracks from ONLY those two selected albums. Similarly, if I choose Start Radio from that same drop down, it will only use those two selected albums to seed the Radio function.