On MacOS-Catalina how to download Podcast for OffLine listening?

I have set Podcast Preferences to automatically download new episodes of my 4 or 5 subscriptions. When I look at shows I see circle with blue square in it, which I thought meant it was downloaded.

but with each show, when I click to listen offline, i get, Your Device Is Not Connected to the Internet. Either that means that not downloaded or I don’t understand what downloaded means.

I then try to download manually. on some episodes when I Control click episode, it gives option to download. but on other subscription download doesn’t come up as option; nor when click More. can save (don’t know what that means), remove, share, but NOT DOWNLOAD.

Confusingly, some episodes seem to download, manually and automatically, and play off line. no pattern. happens with different episodes of same program. random.

I need to listen offline, not just when connected.

thanks