There could be a few reasons for this:
- You have not set the audio player to appear for the full content of an episode - you can change this in the Podcast -> Settings -> General area of your WP dashboard
- Your episode audio file is a reference to a folder and not a specific file
- The audio file is password protected
- Your site is running on an IP address and not a domain name
- You have a plugin installed that conflicts with the WordPress media player
If any of these are true for you then that will most likely be the reason that the audio player is not showing on your podcast episodes.