Auto-download is broken for me as well. At least partially broken. It only seems to auto download once you go to the app, maybe even open up the podcast series. My iPad sits home all day plugged in. I expect all my subscribed podcasts to download during that time. They don't, they wait for me to visit the podcasts app.
I finally solved this by changing the Auto-Lock settings. Mine were set to Auto Lock in 2 minutes. I changed the setting to 15 minutes and my New Yorker Magazine downloaded without incident -- although it took much more than 15 minutes. (I now suspect that my prior setting was the reason my Newsstand publications never downloaded automatically.) I have now reset Auto-Lock to "Never" to test whether that works in the future for automatic downloads --basically because my DSL speed is not optimum.