Where is the error message for a failed podcast download

The podcasts part of iTunes just manage those you have either subscribed to, or subscribed and unsubscribed but still have episodes. It looks like your issue is related to trying to manually manage these, which will let you add the files to your iPod, but iTunes really doesn't know about the structure behind them.

I would recommend having it manage them for you. In that case, you can also tell it to delete those (or keep those) you want after you listen.

For example, I have a couple of concerts from NPR on my iPod that I keep, but my other daily/weekly podcasts delete after they have been listened too.

I expect the reason you are seeing the difference between iTunes and the iPod is the way you are currently mixing the two methods.

I hear this more and more. iTunes on the PC directly uses the RSS feed and can be downloaded immediately. The podcasts in the iTunes store are cached, meaning that a process has to go out and update it. You have no control over this. If you don't want to continuously sync with iTunes, get a podcast app for the iPod Touch. I like Podcaster though there are many others. This app like all of the others uses the direct RSS feed and can pull down the show immediately.