Jean-Etienne,
Thanks for the kind words and for using HappyFish. I definitely want HappyFish to be the best it can be.
Yes, you can have multiple podcasts on the same playlist. Give this a try:
Go into the feed preferences (right-click on a feed and choose "Feed settings"). Once this dialog is open you can change settings for any and all feeds. For each of the feeds you want to appear in the "news" group click on "ID3 Tags & File Names" and choose the custom genre tag option. Put something meanigful, but not something that might show up as a normal genre. I would suggest "News Playlist" or something like that. Do this for the other groupings you want to create like "Sports Playlist", "Comedy Playlist", etc. Next, under the device preferences dialog (select your iPod from the drop down on the sync tab then click the gear icon and choose preferences) check the "create playlists" option and choose genre as the basis instead of feed title. This should create the playlists you're looking for.
The one drawback is that the genre tags are only changed when the files are downloaded (right at download completion). So this change will not be retroactive. However, you should be able to go the download folder for each feed, select all the files, and with all the files still selected right-click on the group and choose properties from the context menu. In the properties dialog click on the details tab. There you can change the genre and have it update the files en mass.
Regards,
Will