Yep, that's how it works. This was also discussed throughly in the gPodder bug tracker.
Again, anything that has short text and makes more sense is gladly accepted Good UI design is hard.
The "hide podcasts without episodes" hides all podcasts that do now show any episodes in the current view (so it depends on the setting of the options). Again, the title is kept short, a better title would be "Hide podcasts that will not show any episodes in the episode list with the current filter settings", but that does not fit the screen.
Feel free to come up with a list of most-used items and I can put these in the dialog.
Pressing once on an episode already brings up the submenu for this episodes with all options - or do you mean download-specific options like "Pause"/"Resume"?