Thanks for your reply. Please check here: https://discussions.apple.com/thread/4678917?start=0&tstart=0
Essentially, when you want to prepare a RSS feed for consumption by iTunes, it needs to have proper "<enclosure>" tag available that tells iTunes where the source MP3 file is located.
This is typically very easy to achieve with WordPress.com (and it works for episodes 1 to 4), you just need to put an [audio] bracketed tag in your blog post, this is for example the tag for Episode 4:
[audio http://code-2020.s3.amazonaws.com/CODE-2020-Episode-4-JamesWard-Heroku.mp3|titles=Episode 4 - James Ward on Heroku|artists=Michaele Neale,James Ward]
This will display a small MP3 player within your blog post so you can play the episode directly from within your browser and, when generating the RSS feed, will add a proper enclosure tag to the feed. Now, if you look at the source blog post for Episode 4 (or any from 1 to 4) and the source for Episode 5, they pretty much are the same and rely on the same [audio] tag, yet, episode 5 doesn't generate the right <enclosure> tag in the RSS feed, which makes it impossible for iTunes to display it.
I found several similar comments/bug reports on the web while crawling for a solution.
Is this clearer?