How is supposed to know "where you want it to go"? I imagine you mean that you want it to start playing the next unlistenedto track. That would be a nice feature, but I don't think it's a bug that it doesn't do that. I listen to *alot* of podcasts and none of my iPods have ever done that. I don't think iTunes even does that.
At best, you can tell iTunes to delete podcast tracks that have been listened to.