This is actually just a corollary of the "Why don't instrumentation and sampling calltrees look the same" FAQ.

In instrumentation, you will see all of the functions inside of the instrumented DLL as you would expect.  However you will also see every function from an external function called DIRECTLY from those functions.  This is a beneficial side effect of the way we do instrumentation as detailed below.  This should give you a decent view of the context of your execution's call stack without resorting to instrumenting every dll in the application.