In case anyone else comes across this, it’s a bug in Hide Played Episodes display filter. If an episode is played before downloading, it will dissapear permanently from view in downloads no matter if this filter is checked or unchecked. If I mark the episode as unplayed, download it and then mark it as played, everything works as expected.
ETA: It’s actually a settings foible that may not be immediately obvious. If remove played episodes is checked in iPad settings, the app will download the episode and then immediately remove it. Imperfect behaviour but I can at least now understand why it was happening. Nothing to see here…