Why is the sort feature always grayed out in the Podcasts app on MacOS Catalina?
I'm going to say it's a Catalina bug.  I have 10.15 and have dozens of different podcasts downloaded.

I couldn't get those menu items to be enabled.  I tried all different kinds of variations of selecting/not selecting podcasts and it never worked.

Hopefully, this will be fixed in a future patch or someone will add an answer telling us what we're doing wrong.