Podcasts won't load to new 4th generation iPod

4th gen shuffle works a bit differently from 2nd gen shuffle. 2nd gen shuffle is a very simple device. It holds one list of audio items that can be played in list order or in random order. 4th gen shuffle is more like the "big" iPods (but without a screen). It can hold multiple playlists, and it distinguishes between different audio media types (music, podcasts, audiobooks...).

Because it does not have a screen for navigation, it has a feature called VoiceOver. In addition to hearing song info, you use VoiceOver to select a playlist to use. The shuffle treats each podcast as a playlist, with the loaded episodes (of each podcast) as the items (like songs) on the playlist. To hear episodes from other podcasts, use VoiceOver to select a different podcast from the playlist menu. This document describes how to enable and use VoiceOver on the 4th gen shuffle

iPod shuffle (4th generation): Enabling and using VoiceOver - Apple Support

Because the 4th gen shuffle can have multiple playlists, you conveniently load it with a combination of songs and podcasts. For example, you may want a playlist of songs for exercising and a "favorite songs" playlist, plus your podcasts. Use VoiceOver to select what you want to hear.