What is the meaning of the check box and circle in this iTune U If it means watched, then I saw the check box is over there even though I selected unwatched column.

Does it mean downloaded? There is no tool tips and it's kind of silly to have 2 columns expressing the same thing.

The checkbox may means downloaded. What about the circle to the left of the checkboxes?
The checkbox is a tool for downloaded items to specify if you want that specific item to sync to your device. There is a setting in your iTunes device list to sync only checked items in iTunes:


If you have that setting turned on, unchecking any song or video will tell iTunes not to sync that item to your device during the next sync.

The circle is a progress indicator for downloaded items: 


A filled circle indicates that the item is unplayed.
A half circle indicates that the item is partially played.
No circle indicates that the item has been played to completion.