Imagine if you were listening to an album on your iTunes app, but to make it play the next song, in order, you had to put that album in a Station, first.
It's ridiculous that you have to add an extra step - create a "Station" first, then add the podcast to that station.
You'd have to set up a station for every album you had on iTunes if that was the case. I subscribe to lots and lots of podcasts, I don't want to have to create a separate station for each podcast I listen to.
The best place to make a complaint, is here, Feedback - Podcasts - Apple
The best place to listen to your podcasts - until Apple decide to fix this issue - IN EPISODE ORDER WITHOUT HAVING TO DO A THING, with a sleep timer that will stop playing, when the timer runs out, is the Overcast app.