No, you are not doing anything wrong, this is just the way DVDs are made. The VOB files can contain one title or parts of several, and they are not necessarily in the same order that the video plays back. The only way to get what you want is to do one episode at a time. DVDFab will take the title you want and take the parts it needs to play it and put them in one VOB file (if it will fit, most likely more than one).
If you are making ISOs, you would select one title at a time and choose the ISO Target button.
