Notification settings can be managed in a couple of different places:
A. Once you add a show to "My Shows" you can enable notifications for that specific show by tapping the "notifications" button:
When the notifications are enabled, the button will turn blue:
B. Go to My Shows > Settings Gear (top left) > Notifications.
1. New Episodes Notifications: when this setting is enabled, any shows that you add to My Shows from then on will automatically have show notifications enabled. If you would like to control this show-by-show (with the default being Off rather than On), turn this toggle off.
2. You'll also find a list of the podcasts saved in My Shows. Here, you can toggle each on and off individually to enable/disable notifications for that particular show.