QGIS Seems to Lose Data on OSM Import [duplicate]

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This question already has an answer here:

• How do I load OSM vector data in QGIS 2.x? 4 answers

I'm attempting to use OSM data in QGIS 2.8.2. I've imported my data into SpatiaLite layers using the following steps:

1. Vector -> OpenStreetMap -> Download Data...
2. Vector -> OpenStreetMap -> Import Topology from XML...
3. Vector -> OpenStreetMap -> Export Topology to SpatiaLite...

For the last step, I imported the polylines. I noticed that some of the primary highways have gaps in the middle. This isn't a case of a segment going outside my region--the gap is right in the middle of the region.

You'll notice that I put the primary highway on its own layer by selecting polylines with attributes I wanted. The light-blue lines beneath the primary highway are every single polyline. Notice that there is no polyline connecting the disjoint highway segments.

I'm assuming that when I chose "Vector -> OpenStreetMap -> Export Topology to SpatiaLite...", all polylines are exported no matter which attributes I check. Is that right? If not, is this a symptom of me not selecting "tunnels", for instance?

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