It might be confusing, but it's not incorrect. Pimsleur uses native Japanese speakers for their examples, and they speak how a Japanese person would.
You *can* pronounce the 'i's and 'u's at the end of each word, and Japanese people would probably think it's cute because you're a foreigner trying to speak their language. There are situations where you vocalize the last sound, and some where you don't. In Pimsleur, they give you an idea of it so if you do listen to native Japanese people, you can tell when it happens.
Like the word 'Desu'. You can say 'Desuuuuu' (exag.), and people will understand you. But most times, folks just say 'Dess'. Fully pronouncing a word seems to be viewed as very formal, or very femenine. It's all about ease of speech.
Some of them have rules where you can only use a particular pronounciation when used with a certain thing (kind of like the "I before E except after C" rule in English). To take the 'Desu' example again, if you're finishing a sentence with 'Desu Yo?', you'd give 'Desuu' the full pronounciation. It rolls off the tongue a little easier than 'Dess Yo', and if you're speaking quickly that would sound like 'Desho', which is a different word.
The best way to learn Japanese is through Immersion. After all, that's the way people learn their native languages--you grow up around people who speak the language and you eventually pick things up. Since most of us don't live in Japan, all we can do is take lessons. But to help in the 'immersion', and to get a good feel of how Japanese people really speak, we have the internet. Get Japanese music, watch anime, and pay attention to the words they are speaking. Chances are you won't understand it for a while, but you'll pick some things up and most importantly you're familiarizing yourself with how Japanese people speak.
Then you won't be too confused by Pimsleur's teachings :P
--Edit: Found This flash program, it will drill you on all the kana. Quite useful!