Hey there,
Have you made sure that you have your iPod set to sync movies? To be sure, head over to the "Videos" tab and check your settings once again.
If that is already taken care of you will want to make sure the movie is in the right format for your iPod. Even though you bought it from iTunes it still may need to be converted to the correct format. To do this, right->click on the video and choose "Create iPod or iPhone version." Depending on the length of the video it may take anywhere from a few minutes to quite some time to convert it. Then try resyncing the video to your iPod. Hope this helps.
I am having the same problem. The name of the movie shows up as grayed out as does the menu item "create ipod or iphone version." I also purchased the movie from itunes.