Can't convert itunes episode file to mp4

Hello! I bought an episode of a TV show in itunes in hopes of editing it in a program called Sony Vegas Pro. Unfortunately, I can't seem to convert it. I did edit my preferences to convert to mp4, but when I go to file > convert, it won't let me click on "create mp4 version". I was able to convert a song I bought to mp3 just fine, but I don't understand why I can't convert this episode to mp4. Any help is appreciated! Thank you.