i'm sure that sort of functionality will come - it's just not here in the initial release
To do it, I guess they'd need to flag an episode/movie/album as purchased, and then you'd need your iTunes to constantly scan your iTunes account to see if anything new had been added recently.
eventually they'll have some kind of a notification thing happening like they do with apps on the iPhone, where the iTunes Store will poke your iTunes on your desktop and tell it there are downloads pending.