What program are you using to burn the disc?
I've had this problem with my 07 GT's Shaker 500 where it will say "BAD DISC" whenever I try to play the last song.
The solution was to use Windows XP's built-in CD burning tool. My guess is that the Shaker 500 was designed for the average PC user who wants to burn MP3s to disc, and the average PC user is going to use XP's built-in tool, iTunes, or some other turn-key app. I was using Nero when I ran into the "BAD DISC" situation with my Memorex 12x CD-RWs. I tried burning at a slower speed, using other ISO formats, cleaning, etc... to no avail.