Dave - the belts don't fill in the entire grind from the heavy grits to the finer ones, it's pretty much always that way. If you put more pressure on the wheel you can "fill-in" the entire grind with the 400 grit belt. I've been using micron film belts after the 400 and before the cork belts and I track them on top of a scotch-brite belt to fill in the grind and avoid the waves that they tend create. I learned that from Bob Ham, it's a little funny to get going at first, but worth the trouble.
The cork belts completely fill your grinds.