Is there any way to retrieve the missing films etc or are they gone for good?
If the films have disappeared from your ATV and they're not in your iTunes library, something clearly has gone wrong. You can use the "Report a Problem" link in your iTunes store purchase history for the missing files to request authorization to download them again.
However, it might be a good idea to download a few podcasts and see if they sync back to your iTunes library reliably. The cause of the problem needs to be identified and resolved first, otherwise it will likely happen again. Either there is a problem with your ATV, or there are network connectivity problems.