I have had this happen many times in the past few months. I spend quite a bit of time downloading all the episodes of a podcast so I can listen to them in my own time. Then when I refresh my podcast list to download my daily podcasts all of a sudden it will refresh and all my downloaded podcasts will disappear! It's very frustrating. Is there a way to get back the episodes I've "lost" and how can I stop it from happening again?
I don't know for sure because I'm struggling to get iTunes 12.1 to behave in anything resembling a consistent way myself, but I wonder if your issue is to do with iCloud syncing?
I had several podcast subscriptions wiped out - along with all their episodes - on desktop because the same subscriptions weren't also in the cloud. iCloud sync of podcasts subscriptions seems to be fundamentally broken so my recommendation would be turn it off altogether if you haven't already.
Sorry, but no idea how to get the episodes back, other than re-downloading them (unreliable - they might not still be available) or restoring from backups...
Alternatively, it could be as simple as you have something other than "Off" selected for the limit episodes setting for the podcasts in question and/or the defaults, but I imagine you've already checked that.