Similar problem reporting in. More specific details to follow, to help TTG sort it out:
After the Ep. 2 credits rolled it told me Episode 3 was "Coming Soon."
Exiting and restarting the game, the episode status was confirmed "Installed." The save game said "Episode 1" but upon playing it, I was taken to the final scene of Episode 2 (all choices intact.) After the credits rolled, again, "Coming Soon."
Copied the save game to Slot 2 upon restarting. Both read "Episode 1" but both take me to the final scene of Episode 2. After credits, "Coming Soon" and BOTH save slots now read "Episode 2" and the last time I autosaved. All MAJOR choices appear intact but there's now one minor change. Whereas before, the camcorder saved my response to Clementine about her hat, "Sure." Now it acts as if I didn't respond at all and Clementine asks about her hat, then says "Lee..." in an annoyed tone.
I tried exiting and restarting Steam, no difference. I tried validating the game's cache files, also no difference.