Have a playlist menu section made up of these options: All Downloads, All Unplayed, Unplayed Downloads, and All Unfinished. This playlist of podcasts would dynamically match the files fitting the category description.
Yes, please, make it so. I don't want to keep all podcasts in my PC just so I can know which ones I've listened to. It's very annoying when you have a lot of podcasts episodes and you have to keep remembering which one you've already downloaded-listened-deleted.