Then we must be using the term "Playlist" to refer to two different things.

I enabled Automatic Playlist, and pressed Play on the first episode in My Episodes. In the first screenshot I had opened a feed; in the second I had opened All Feeds.

If you've previously ticked the "In the future..." box, you won't see the pop-up. And if there's currently nothing on your Playlist, it won't need to ask. In either of those cases, it'll just add all the episodes to the playlist and play them, which is what I understood that you are trying to achieve.