If you are trying to play a playlist in the order shown for that playlist (in iTunes), you need to be IN the playlist on the shuffle. You may be in the main "all songs" list on the shuffle, and not a particular playlist. Note: You can have multiple playlists on 4th (and 3rd) gen shuffle, which is why there is a separate "all songs" list.
This article explains how to use VoiceOver, including how to change between playlists.
(See Changing playlists and To choose an item from the playlist menu.)