Based on the second screenshot, the filter is only looking for tracks where the parent folder contains "Albums". Therefore, you're correct that it's not going to find any deeper folders, unless the name of that folder also contains the word "Albums".
What you need is a rule like "Path contains \Albums\", because Path includes the entire folder tree rather than just the parent folder.
To do this with multiple folders, as long as the rule is to match ANY, you can just use multiple "contains" rules:
Path contains "\Albums1\"
Path contains "\Albums2\"
etc