The "play all" feature will be gone in the next version, I think, and a different mechanism will be used, which makes it easier to play episodes directly from the list.

Because if it would, people would complain why gPodder auto-updates when it's not opened. That's especially important when you consider that not everyone has an unlimited data plan (and updating feeds does consume some traffic) and that parsing the XML of the feeds does require some processing power.

In short: gPodder does not auto-update in the background, because it's not implemented yet, and it would be bad for the battery life of your device (and might be bad for your finances if you have a non-unlimited data plan).