I also ran into this issue with a number of the podcasts on my Zune. Items that are marked as played and have been deleted from the podcast are now in the process of re-downloading on my computer. The problem with some of these podcasts is that they contain huge video files, for example NASA 360, ESOcast, NASA's Chandra X-ray Observatory Podcasts.
Right now I'm allowing the re-downloads to continue, hoping that this will be a one-time issue and will go away. But I'm also seeing that these files are being saved to my hard drive. Hard disk space is gradually being consumed by the re-downloads.
What's even funnier about this issue is, if I jump over to the podcast collection and view the list, these items are still showing with a Download button, as if they are not present and still waiting to be downloaded. Which means the downloads are not being recognized by the Zune 4.0 software, even though I can see them showing up in the folder where the podcast is located on my hard drive.
What's worse is, I just got done only a week or two ago of unsubscribing and resubscribing to these podcasts, to fix issues with my podcast lists due to the fact that the Zune 3.0 software wasn't recognizing the podcasts as being on a secondary drive, even though the podcasts were in the folder scans lists. Personally, I'd like to be able to chose where individual podcasts are saved to, as this is forcing me to keep all of the podcasts on my main drive, consuming space that could instead be taken from a secondary drive. (And even if I moved the entire podcast to the secondary drive, the podcast episodes still downloaded to the main drive, dividing the podcast between the two locations.)
I also don't want to clean and resubscribe to every podcast either, as I have a large list that I am listening to, and this is something that will take me days to redo and redownload, not to mention having to go back through the lists and figure out what was marked as played versus unplayed, an exercise that may take weeks to redo.
On a side note, I used to be able to switch away from downloads and back again, and items that were finished downloading would be cleaned up. This is no longer occurring. I don't mind if errors stick around, but it would be nice if those pesky In Collection items would go away. Having to scroll down nearly 1,000 downloads to find out where the software is at is a pain in the neck.