The latest episode - all the others appear to be OK - was only posted today, so it wouldn't appear in the Store for a couple of days. However unlike the others, the media file for this one is Flash:
<enclosure url="http://feedproxy.google.com/~r/HotChristmess/~5/nrpleNEMAjQ/audio_player_black.s wf" length="22688" type="application/x-shockwave-flash" />
iTunes does not handle Flash files, so it sees this episode as having no playable media: consequently it will not display the episode.
I'm afraid I can't advise on Tumblr. If they are automatically changing mp3s to Flash they are going to be inundated with people whose podcasts don't work in iTunes - possibly there's a setting somewhere which has got changed somehow.