I started investigating further last night, and tried playing things from another favorite link and didn’t see the problem.
So I went back to the original episodes where I saw the problem and found I could not reproduce it now. I tried several episodes and each behaved correctly at the end of playback, i.e. I was not returned to the root menu.
I wonder if this could be an problem with corrupted Metadata. I noticed that none of the episodes displayed a description even though descriptions exist in TVDB and the filenames of the episodes seem to be marked up correctly with the Season and Episode numbers.
I also wondered if it was running out memory at the end of playback as it tried to reload the directory information, however I did not see any Low Memory warnings any time I was seeing the problem.