Final answer from Apple: "I received response from our Engineering team and they have verified that “transfer purchases” is no longer an option in Catalina. They suggested to leave us feedback on Apple.com/feedback".
So, if people want Apple to add this option back in some form or another then we need to have a sufficient number of people asking for it. I've left feedback, but this is probably a case of the more the merrier...
In my case, until Apple fixes this I will be buying a lot fewer items from iTunes. When I could download for free out of home on an iPad or iPhone and then copy back to my iMac, the iTunes Store was often a reasonable option. But download charges from my ISP once I go over my limit are $5 GB. With this added cost, my purchases are anywhere from double to five - six times the price I would pay Apple, which makes the TV purchases too expensive compared with other ways of accessing the material. When a $10 movie turns into a $35 movie, there are other and cheaper options available.