I had the same problem with my anime collection and after two days of struggle I can clearly say that naming is the key to get everything recognized.
As you have noticed there are no real season in anime, only sequels and/or prequels, which makes it quiet difficult for XBMC to recognize stuff.
Anyway, this is how I sorted my anime to get it going:
/Shakugan no Shana/
-Shakugan no Shana - 01 - The End to Everything, the One Beginning
/Shakugan no Shana Second/
-Shakugan no Shana Second - 01 - The Time for the Second Time
and so on.....
It seems that you have to put each "season" in a separate folder otherwise it won't load everything, but you don't need to rename everything, the folder name seems to be the most important thing. In my case I only renamed multi-season anime's and those that where not correctly recognized.
As for the advancedsettigns.xml you only need to put in this:
In short: Absolute numbering and Separate folders.
I got 140+ animes correctly recognized this way, the only things that doesn't work are openings, endings and specials but I don't really care about those.
I hope I could help you somehow and if you have any questions fell free to contact me, I'm still a noob myself but I managed so far.