I ran across the same thing. When I copy the shortcode from the “manage playlists” screen, it looks like this:
[hmp_player playlist='Xaz _- _Prized _Ale _of _Non-Drinkers']
As you can see, there are spaces before each of the underscores. It’s easily fixed by editing it, but it seems like a bug that this is necessary, so you can’t simply cut the shortcode and then paste it in somewhere.