When trying to access a podcast with multiple feeds through the player interface (Including the Controller), there is no "Play All" function. You can only select to play or add one feed at a time. 

This is achievable through the SqueezeCenter interface by going to Extras > Podcasts > Select a Podcast. Through SqueezeCenter, there is a, "Play All" function.

I have tried to play all using the SB3 interface and also through the Controller interface, but neither allow one to play all.

Here is an example of a Podcast with multiple feeds:

     http://feeds.feedburner.com/StereogumMP3Feed