Should mention that also recently downloaded Stargate seasons and DS9 first season with no problems. Both sets of episodes have audio and video on Mac Pro and Apple TV. Madagascar is the first movie we have purchased. Video works fine, just no sound!
Turns out that the movie we downloaded was defective apparently. iTunes support confirmed that the download had no sound, refunded our money and asked that we wait a couple of weeks before attempting to download Madagascar again. Go figure.