I ran into that too with the one series I currently subscribe to. At first i thought it was just a glitch like maybe they had sent out the email but didn't actually have the file up or something.
Then I thought it was because I have "Always check for available downloads" UNCHECKED (which is my preference but seems like iTunes always checked anyway). But no, even manually checking did not find anything to download, even two days later.
I finally downloaded it by clicking on TV Shows in the source panel of iTunes, then going up in Views and turning on the "Show TV Shows in the Cloud" feature, briefly, then scrolling around in my purchased shows with the column browser turned on until I found the show and the season. Lo and behold, there was the newest episode, so I downloaded it. Annoying way to have to get to it, I hope it's a temporary problem.