I've not yet tested manual creation of a multi-part asx file, but am hoping it would work in MB as indicated above - playing all tracks included therein, together and in sequence.
Sorry, I wasn't clear. That's what I tested with an ASX file that I manually added multiple tracks to - it doesn't work.
The ability to create "virtual albums" that comprise existing tracks but with their separate tag values has has been requested for many years in various forms.
Excuse my lack of imagination but I am just wondering what might be the advantages of creating a 'virtual album' over a playlist?
(I guess one would be the ability to create your own compilations/collections and view them in amongst your 'proper' albums)
Yes, the ability to create compilations where each track has its own tag values, but still uses the original track for playback.
e.g.

In this case, only the third file would contain the audio stream. The first two would just be a reference to that file but appear on separate albums with their own values for album-specific things like Album, Year, Artwork, Album Gain etc. This means the other two copies don't take up unnecessary disk space by duplicating the entire file.
Obviously it's possible to create a playlist for each album and just add the required tracks to it, but as you've noted, that's not the same as having a compilation album that actually appears as any other album.
Years ago I tried using ASX files to achieve this, but gave up when I found MusicBee's support for them to be a bit unintuitive and unpredictable.
There may have been improvements made since I last tried, but can't recall seeing anything specific.
Bee excellent to each other...