Thanks for your help, especially having not seen the very relevant post
you referred me to.
When I posted my question here, I sent a similar question to Sansa Support, who have since given me this answer:
I have done the testing trying to replicate the case described, and indeed it did not play those playlists where the files were located in different folders. Therefore I can confirm that currently it is not possible to play the M3U playlists where the files are located in subdirectories.
Thanks again for your help.
I shall make any further comment in the other thread.