Is this the stock unit or an after market unit? I just replaced my beloved Alpine HU with a Pioneer HU because I needed an auxiliary jack for my Zune.
My pioneer HU does the same thing. When in random mode, it only randomizes the next song if you allow the current song to play through to completion. If you skip, it just goes to the next song on the CD. This is INCREDIBLY ANNOYING especially if you have an MP3 CD with hundreds of tracks and potentially the same artist several times in a row. It makes the random function close to useless.
If it is an aftermarket HU, return it and pick up a unit that actually does random play properly. If it's the factory HU, I think you might be stuck with it.