I got the all-in-one of Wanted: Dead or Alive a time back (Special Edition with 12 discs), and it came the way you describe; it didn't affect the entertainment value of the series (still one of my two favorite Westerns), but it was as hard to manipulate the discs with that as it was apparently...
I think this will be the third Mill Creek release I have heard of that will have bonuses (the other two being the all-in-ones of Roseanne and That 70s Show).