This is done by the use of the 'itunes:season' tag within the episode ('item') tags. Apple say:
<itunes:season>
The episode season number.
If an episode is within a season use this tag.
Where season is a non-zero integer (1, 2, 3, etc.) representing your season number.
To allow the season feature for shows containing a single season, if only one season exists in the RSS feed, Apple Podcasts doesn’t display a season number. When you add a second season to the RSS feed, Apple Podcasts displays the season numbers.
https://help.apple.com/itc/podcasts_connect/#/itcb54353390