I see that "audio à la demande" was all over the news in May, as it was recommended by the Commission d'enrichissement de la langue française apparently. I don't want to enter into a long debate but our dictionary captures the real/everyday usage of words, and does not prescribe what should be used but is not.
"audio à la demande" is so little used it does not return any hits in google trends.
If you don't want to use the anglicism "podcast", then "baladodiffusion" will be just fine. It has the added advantage of working as a countable noun, which is not the case of "audio à la demande".