If you have questions about the download options when purchasing a season/series of a TV show on the iTunes Store, you may find the following article helpful:
Thanks Brenden for your reply.
Unfortunately these articles only tell me everything I know already from poking around frustratedly with iTunes. What they don't say clearly is where one should look for other episodes that have been purchased, just not downloaded yet.
I'm indirectly suggesting an improvement to the software- that purchases and library be better integrated - so if I've bought a series, that series (all episodes) appears in my library, and when I want to watch then it downloads them. At present the procedure is not covered in the support pages, and is not intuitive.