This is normal. From the homepage:
All the sorting options will "wrap around" unmovable files on disk by splitting regular files into fragments. This may seem strange for a defragmenter, but the fragments are aligned and therefore have a very small impact on performance. It looks terrible on the screen and in the statistics, but no worries.
I'm not too keen on it (ie running a defragger and getting more fragmentation) but Jeroen is far more knowledgeable than I and I'm sure he wouldn't have it work that way if it was a bad thing.