I think I've got the same problem. I used to sync my podcasts from Zune desktop to my phone, but would also like to just omit the desktop software for podcasts.
So after upgrading to Mango I sync'ed one podcast to my phone from the desktop Zune (as I'm outside the US that's the only option I have to get podcasts onto the phone in the first place), and then I pressed the "subscribe" button inside the zune software and wanted to have the latest 2 episodes downloaded. However, since the current episode of this particular podcast is 217 (that's the one I manually sync'ed) the phone now downloads 216 and 215 - which is okay.
But I want to order the podcast with the oldest one first, so I hit "series settings" and change the playback order to "Oldest episodes first" and press "confirm" - and now episode 1 and 2 starts downloading and episode 215 and 216 is deleted.
How the heck do I keep the latest 2 (or 3, or 4) episodes on the device with the oldest episodes first?