The default action when performing a backup is to append to the backup file.
The default action when restoring a backup is to restore just the first file.
I constantly come across customer situations where they are puzzled that they seem to have lost data after they have completed a restore. Invariably, it's just that they haven't restored all the backups contained within a single OS file. This happens most commonly with log backups but also happens when they have not restored the most recent database backup file.
It is not trivial to achieve this within simple T-SQL scripts, when the number of backup files within the OS file is unknown. It really should be.