I've seen other people say that once they've moved the media folder to an external drive it's stopped transferring purchases from iTunes though this is only in recent months.
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It may be a bug.
While you can have the whole of your itunes folder including the databaxse files and media on the external, I tend to keep it on the internal drive.
I set iTunes Preferences not to copy added media to the iTunes folder, so that the database just references file locations. On various externals I have groupings of media (I should consolidate them all) and drag and drop to iTunes which adds them to the library without copying the files.
With purchases, I locate them via itunes then copy them off to the external location manually, then delete the entry/files via itunes to free up internal space. Next I re-add the media from the external with drag and drop.
Admittedly this approach is a bit of a chore, but generally works for me, especially as I store different media on different drives.
I previously created a new iTunes folder/library on an external drive (database/artwork/media files and all) using option key when opening iTunes. From memory any purchases would transfer ok, but it was some time ago, and I've only seen reports like your in last 6-12 months.
I suspect it's a bug in iTunes relating to the storage path for AppleTV reverse transfers, but if it doesn't happen to everyone there may be some unique features for those affected.