I don't think this is a bug, otherwise a lot of other people would be having the same problem (although I guess it could still be!)
Picard unfortunately is kind of tricky, so I'm going to start at the start to make sure we haven't missed any steps.
1: Add files to Picard by dragging them in, or clicking on 'add folder/ add files'. They will appear on the left hand side of Picard.
2: Hit 'cluster'. This will group your files together within Picard using the existing 'album' tags. Cluster does not change your files or create folders in any way, just groups them in Picard.
2.5: If all you want to do is move files, and not update any information, now you can select a cluster, or just a file/track, and hit 'save' to apply your settings based on existing tags.
3. Picard's made to update your tags though, so selecting a cluster and hitting 'Lookup' will look for a matching item in our database using the tags, or if you don't have any tags/ the tags are wrong you can use 'Scan' which will 'listen' to the track to try and match it.
4. Double check that it's moved the files on the left to the right items in the database on the right, and if you're happy with it, hit 'save' to apply the new information from MB to the files, and also create the folder structure based on your settings.
Does that help?
Just a note, Picard works best with just a few albums at once, and please try it on a backup of your files first, it will overwrite existing information.