Amver

Можно использовать window-функцию row_number() для минимизации обращения к таблице

with max_m_ep as
(	select tue.user_id, te.material_id, max(tue.episode_id) AS "_ep" from user_episode tue
									left join episode te ON te.id = tue.episode_id
									group by tue.user_id, te.material_id )
select * from
(
	select e.*, row_number() OVER (partition by e.material_id order by e.id) AS ep_order
	from episode e
	left join max_m_ep mx ON mx.material_id = e.material_id and mx.user_id = 2
	  where e.id >= mx._ep
		or mx._ep is null

	  order by e.id
) data
where ep_order < 5;