Having an hour to kill, I followed your instructions with only one exception: I set "Only Download on Wi-Fi" to ON.
The results are close, but not the same as my podcast playlist. My playlist is sorted by Date Added, and I manually download each episode in the order which I want to listen.
The station is almost in that order, but not always: this is probably due to having to rely on the podcaster setting the metadata correctly. Sometimes 'part 2' of an episode will appear in the list before 'part 1', so I've got to manually edit the order of the episodes in the station list.
Also, adding a new 'show' does not add its episodes to the end of the station, where I would expect a 'new' (to me) episode to appear. Instead, 'old' episodes (but new to me) are placed at the top of the station. Once again, I've got to manually edit the order of the episodes in the station list.
And then I've got two very eclectic podcasts, which present episodes of differing subjects. I don't want to download all of the episodes; I want to download only those in which I'm interested. With my playlist, that's easy: I can ignore the unwanted episodes. But with the station, I've got to manually delete the episodes that I don't want, or they'll automatically play.
Selecting the play order when downloading a podcast in iTunes is far easier than automatically downloading podcasts on my iPhone and then manually reordering the episodes.
Stations ≠ Playlists.