TV app on Windows, no family library.

1. Family Shared movies is about purchases (not rentals) from the iTunes Store, not other video files. Just checking that we’re talking about the same thing.
2. Family Shared movies requires that the Family Sharing organizer has activated the Purchase Sharing for the group. Could that be it?
3. An empty Family Sharing category may stay hidden by default, until there is some iTunes Store purchased movie to share from a group member. Could that be it?
4. Verify that the Library is configured to show the category Family Sharing in the sidebar. Could that be it?
5. I haven’t seen confirmation that this new(ish) Windows app supports this feature, and I don‘t have a Windows computer to test.

If you can't find your family's shared apps and content - Apple Support

Unfortunately, the user guide doesn’t mention Family Sharing specifically. (The old iTunes application for Windows did support it, so I hope it wasn’t omitted.)

See if you can find anything on shared purchases in the in-app Account settings.

Else contact the Apple Support staff for further assistance.

I'm also having this problem. My guess is the PC app doesn't allow this. It looks like I might have to download the videos via iTunes for it to work. Hopefully this will get fixed soon!