I think that's what they're getting at: Download, then use client of choice?
But podcasts are just RSS feeds of audio files, so the client of choice should be able to take care of the download without needing to take a trip through Spotify.
Okay, could you point me to the RSS of, say, The Joe Rogan Experience?
I'd argue it's not really a podcast if I can't.
Strange that your definition of what a podcast is supposed to be doesn't fit what I find at result #1 when searching for "The biggest podcast in the world".
But I know where you're coming from. It sucks that Spotify is trying to turn this into a walled garden. Hence downloading the episodes, and listening to it in a better client