As of now, you should be able to add individual episodes to the system's local Favorites playlist. Episodes get the little "..." menu that prompts this menu.
However, pinning an episode isn't super useful (to me at least). It'd be cool to get this menu on Podcasts themselves. But they don't seem to afford this menu. It might be some configuration with podcast mediaCollection, see findPodcastMediaMetadata
Mark podcast containers as playable ablumns
Allows podcasts to be added to Sonos favorites.