Well this discussion has been helpful, but the real answer is simple and just in front of our nose. In order to transfer your purchases correctly, the computer that you are using has to be "Authorize" and log in with your Apple ID to the store.
So, do as follow:
1. Sing into you account: Store -> Sign into Apple ID.
2. Authorized the computer: Store -> Authorize this computer
3. Transfer purchases: File -> Devices -> Transfer Purchases from "your iDevice"
Once you do this just take a coffee and some cookies, chill out and wait.
When the process is done go to iTunes U in your iTunes installation and there would be all your lectures.