I have never had this problem before or have heard that other people have.
First of all a DVD can hold multiple video_ts files (depending on their size), but any DVD player will only recognize one of them (the first one burned on the dvd) thus the importance of converting all the files at once using DivxToDVD to get just one video_ts file (that contains all the -in your case- episodes you want.
From what I understand this is what you are doing (using divxtodvd just once for all four files added at one time). And when using CopyToDVD do you get any errors? If so what kind? I am more under the impression that you do not, the burn finishes and it is only when going to watch the dvd that you only find one episode. Is this correct?
Have you previously been able to convert multi files and get one video_ts file will all of them files in it?