Why aren't TV shows or Movies I buy via Apple TV downloaded or available via my iTunes library (like when I buy them with my laptop or ipad)?

I get that some things are stored in teh cloud but if I paid the money for the show (or rights to view it) I should be able to view it on Apple TV, my iPad, laptop, etc via iTunes.  What am I missing?

Welcome to the Apple Community.
Used the purchased option in iTunes to download them.

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