Once you created a Podcasts archive page, or a podcast Filter category, you can add them to the menu.
How to add the podcast page to the menu
Step 1: In your WordPress Admin, visit Appearance > Menu
Step 2: Make sure you are editing the right menu, or select the right one from the dropdown, and click Select
Step 3: In Pages, click View All, and select the Podcast page you previously created using the template "Archive Podcast"
Step 4: click Add to menu
Once done you can drag the item in the menu at the point you want
Step 5: click "Save Menu"
How to link specific "podcast filter" archive in the Menu
Step 1: Go to Appearance > Menu and make sure you are editing the right menu
Step 2: click Screen Options and enable the Podcast Filters
Step 3: find the Filters Type tab, and add the type you want to the menu
Step 4: you can now drag and drop the new item in the desided position within the menu.
Step 5: Save the menu