While many of David Lynch's films are episodic in structure, those episodes build, and gain in emotional and artistic power from being viewed as a whole, rather than seen in pieces.
But how is that different than any other movie that's ever been made?
Also, those episodes have a tendency to repeat images and themes that resonate as the film develops, and if seen in a linear way, from beginning to end, turn out not to be really episodic at all, but part of one thematic and artistic world view, so that a single image repeated in different contexts throughout the film--as in WILD AT HEART, BLUE VELVET, MULLHOLLAND DRIVE & LOST HIGHWAY--can suddenly change one's entire view of the film.
What you're talking here is film theory, which is all well and good, but it's essentially a rationalization to defend Lynch being a curmudgeon. Plenty of directors have made films as complex and challenging as Lynch's, but very few of them have been so arrogant as to dictate how an audience should be allowed to watch their work.
I know Lynch's catalog about as well as anyone can. What you're saying is not wrong, but it is something of an overstatement, IMO. Yes, Wild at Heart does have repeated themes and imagery (smoke, fire, Wizard of Oz, Elvis, etc.), but that movie is also clearly a grab-bag of random ideas that Lynch had been collecting over the years and had nowhere else to use. He took a very thin novella by Barry Gifford (which you can practically read in less time than it takes to watch the movie), and foisted tons of unrelated scenes onto it that had nothing to do with Gifford's original story.
Sure, you can argue that he enriched the story by doing so. But I'd counter that most of those scenes have little connection with one another. That movie is a string of isolated set-pieces (the Sherilyn Fenn car crash, Crispin Glover's cockroach fetish, the "Texas-style" porno, and so forth) that could practically be rearranged into any order. It's only natural that viewers will want to rewatch it in pieces. Yet Lynch would try to prevent them from doing so.
Mulholland Drive has aspects of this as well. That movie has a whole bunch of scenes that were shot for the original TV pilot that should have been cut when Lynch restructured it as a feature film, because they actually contradict the new plot twist he added to the end -- the bumbling hitman, Winkie's Diner, the entire subplot with the film director and The Cowboy, and more. But Lynch was so in love with them as set-pieces that he couldn't let them go. Those scenes beg to be excised and watched on their own. The film would be stronger without them, and he could preserve them as deleted scenes in the supplements, as he did for Blue Velvet and Fire Walk with Me. Instead, he'd force us to watch the entire 2.75-hour movie as one "continuum" with restricted ability to break it apart and analyze it.