Please don't be offended but have you pressed the TV Shows tab that appears at the top of the screen in the Videos app? I have tabs there for Movies, TV Shows, iTunesU etc. Only the content particular to each tab shows on the screen.
OK - I'm sure you've done this, but just wanted to be sure.
Also, have to checked in iTunes Downloads to see if the download completed satisfatorially? Those TV Shows can take several hours to download.
Tim