John, I think I know what you're talking about, but I've only handled it once and it was by brute force. I subscribed to a radio podcast in itunes that had years of history, and to get enough of the history I wanted, I had itunes "show all available episodes". That took a long time pull down the list, but after it was done I highlighted everything I didn't want, right clicked and deleted it. This still works in itunes 11, both shift and ctrl click - are you saying you can't highlight multiple episodes? Anyway, after that it started downloading all the episodes left to my pc. I set the podcast to only sync unplayed episodes and from then on I've been listening to things in chronological order.
All this worked the same regardless of whether or not I had the podcast app on my iphone, so if I understand your question I don't think it matters what you're using. Is there a reason you're not using the podcast app though? The only reason not to I can think of would be if you want to use playlists. Otherwise I recommend it. I like it better than accessing podcasts via the music app, and prefer to watch/listen to my podcasts in chronological order, which works great via the app.