Yeah, this bugs me too. I used to burn multisession disks with Toast on OS 9 and it definitely did not do this. If you were burning a straight ISO 9660 CD, it would concatenate the contents of the sessions and display them all at the root of a single volume.
I know that Disk Utility makes multiple volumes. Haven't tried it with Toast, but if you haven't already, make sure you're burning an ISO 9660 disk rather than an HFS disk.
If it still does this, even when burning ISO 9660, it might be interesting to put the disk into an OS 9 machine and see whether the problem is the current version of Toast or the Mac OS X Finder.