They're all checked....
The behavior has changed inexplicably in the past few weeks since the original post.
I did some experimenting before this and changed the "Media Kind" from "Podcast" to Music for a few of the downloaded podcasts. This worked but changed the location of the podcasts in the library, and they didn't roll off to the Trash after playback. So I trashed those downloads manually and went back to the "single play" downloads.
After a few days, the original "play through the list" behavior returned. Just as in iTunes 10. This lasted a little longer than a week.
Now the podcasts are downloading and stopping after a single podcast plays.
I've also noticed I can't add Podcasts to the "Up Next" list at all. This may be more indicative of the behavior as Music playlists see all the tracks in the "Up Next" queue by default.