If the games were ever available separately, then they should be separate.
I only put episodes together if they're originally shareware (you know, like those Apogee games - gosh, no one does shareware anymore thanks to, you know, downloads), because the first "episode" is essentially a demo for the rest of the game, which is usually referred to as a whole. In those cases I see episodes as separate "stages" or "worlds" and not as separate "games".