Same issue here. According to Steve Mirsky's twitter, he says they know about it, and it looks like it's an issue on iTunes' side (and they've notified Apple). However, looking at their XML file, they're giving all the podcasts the filename podcast.mp3, and have some sort of lookup that pulls in the correct info. Not sure if that's correct or not (seems to work ok in Chrome, but maybe iTunes is different).
Incidentally, like Art and DPDouglas say above, it's downloading for me in the Podcast app in iOS6. Subscribe, auto-download on your iPhone/iPad, then when you sync up with iTunes, it transfer back to your library.
Also, I'm still using iTunes 10, maybe it works in iTunes 11 (but I'm not planning on moving to it any time soon).