Here is the scary non-answer I got from iTunes support:
"I have investigated into this and consulted with a senior advisor, and learned that due to some forth coming changes in the system, the latest TV season episodes will no longer automatically download, and will need to be downloaded through the "Purchased" pane from iTunes in the Cloud. I know this may not be the answer that you were looking for, and I apologize for any inconveniences that this may cause.
To do so, check out the steps in this article on how to download previously purchased items:
Downloading past purchases from the App Store, iBookstore, and iTunes Store
http://support.apple.com/kb/HT2519
I trust you find this information helpful, Nils. Please let me know how everything works out with downloading the episodes for your purchased seasons, and if you have any other questions or concerns, I will be more than happy to assist you further. Thank you for being an important part of the Apple family, and have a great evening!
Sincerely,
..."
They have basically broken iTunes for TV shows - but then again they never really cared about it.