This is how the report works and is designed.
How else can the separate "islands" of the original blood family and the family of an in-law be connected? Two ways would be by connecting lines or by different colors. But either way will fall into incomprehensible chaos with but more than a few people and families.
Note that in a very small dataset of individuals, you will get the larger, initial island, and fewer "spinoff" islands (or family circles), by selecting a person near the bottom of a tree, rather than the top. This is exhibited by examples 1 and 2 below.
For examples of how the EFC report works, see three examples, here:http://boards.ancestry.com/topics.software.famtreemaker/9515...
Note in examples 1 and 2 that a chart starting with a person near the bottom of the report will tend to consolidate more people into fewer islands; whereas starting with an ancestor will spinoff each and every in-law it runs across.
Note that a chart with thousands of people will become thousands of pages long very quickly. This chart is primarily useful as a filter to filter for "everyone related to a selected person by blood or marriage" - for purposes of export or deletion - rather than for actual report to print on paper.
PS. The separate lines and islands have nothing to do with cousin marriages - ALL "in-law" families of a person are presented, whether related by cousin marriages or any marriage to anybody.