In the sorting option, please add the option to move all downloaded audio to the top/bottom of the list.
Or, so that the user doesn’t have to use this feature every time they add some new episodes to the list, you could add just a permanent “position for (not)downloaded episodes” setting. That is, if an episode is added to the queue but the file is not on the device, you can set it to go down (or up) the list. The sorting will be kept (downloaded episodes are sorted, and where list of non-downloaded episodes start, they are also sorted the way the user has configured it in the options).
P.S. Plus, you can even separate “downloaded” from “not downloaded” episodes with a small space with subheadings.