hmmm - you'll need to check that the "Classic Rock" actually has some tracks assigned to that genre first. But yes, that is essentially how it should work. For instance, from below, you should be able to click on the "Punk" genre and see each of those tracks listed. It works fine on mine. I click Classic Rock and there are 2 Eric Clapton tracks! (among others)
The other thing is, in point 3, it can be easy to get lost as to which layer you are at. It sounds like here, you haven't pressed back enough times, so you are looking at a subset of an earlier subset. When in that view, hit back a few times. Or to be sure, cancel out of the menus completely, and start again... then you won't see that behaviour.