As far as I know (don't have my N900 near to check), there should be a menu item in the titlebar app menu to play all downloads or all new episodes. It could be that it works only with certain players (e.g. the built-in player or Panucci), but if other players support playing m3u-style playlists, that should also work.

Edit: If in doubt, you could always use Panucci as your player and make sure that files are enqueued in Panucci's playlist, which then is a kind of "play all" features (queueing files one by one, but the playlist of Panucci is persisted).