Same issue. I like to save non-podcast audio files in podcast format, like a 'listening list', to track what I've listened to and enable the skip functionality. Although I'm warming to the new iTunes, I was very annoyed to find that the freedom to do this has been revoked.
I've already experienced trouble with the Podcasts app whereby non-subscribable/unlisted podcasts don't appear in their respective albums, which caused me to uninstall it.
I sincerely hope that this is a bug, and not a permanent limitation of iTunes. There's a wealth of audio out there that can't be subscribed to via the podcast directory, but Apple seems to be limiting our ability to take advantage of this.