Hmmm . . . I DLd that very same show and it works fine. If that particular show is selected to sync to your iPhone it should play without any issues. I hope that you eventually get it to play. I'm curious as to what the deal is. Good luck!
When you go to sync the show scroll down on the videos tv show is on bottom of page i had the same problem and just did not realize it was below on the page... then you have to click sync all shows or something but you will see it then...
i may have a solution for you
check your e-mail, Apple sends you an iTunes receipt of purchase
in that email locate the tv show that you purchased
on the right side of the show click [Report a Problem]
and take it up with iTunes, get a credit and you can buy the episode and try again if you feel so inclined.