"Redownload your apps, music, movies, TV shows, and books on any devices that you might use to play or read them in the future. Some types of content might not be available in your new country or region. (Learn what types of content and services are available in your new country or region. - Availability of Apple Media Services - Apple Support )"
The section from Apple is lacking in detail as to what may or may not be available. If you are worried about losing anything, make sure you have download it to a computer and backed up the computer too. Even if it says that a movie may be available, it might be in a different language. Personally I would assume nothing is guaranteed and would download everything.