I think the problem is not that shows are immediately marked as watched when they are downloaded. I have a few shows in my library I haven't seen yet. Every so often, my unwatched count on the itunes sidebar will decrease, and a number of shows will now have lost their blue dot, so not showing as unwatched. Needless to say, I haven't actually watched them (even in part).
It's a bit frustrating as I 'sync unwatched items' to my iPad.