This exact issue began for me after updating to iTunes 10.2.2 in mid-May. Until then, everything was saved properly on my NAS through iTunes with no issue. Now that I've contacted iTunes support, they suggested the same thing as what jwweb was asked to do: completely uninstall and then reinstall iTunes. I did this several times over the course of a couple of weeks, since I have a huge media library on my home network that is shared by all my macs/apple devices.
I've isolated the issue, but have not been able to get adequate assistance in resolving the problem in a practical way. At the moment, all I can do is eject the NAS from the desktop of whichever computer (Mac Mini or MacBook Pro) I am using to download from the iTunes store, then allow iTunes to save the download locally. After this, I have to reconnect the NAS and manually move the file over to the right directory on the NAS device, then point iTunes to its new location. This is such a hassle, but until Apple takes notice of the issue and creates a solution, this is the only work-around I've been able to come up with. For some reason, iTunes is no longer able to save the metadata/artwork to purchased or voucher-redeemed files (DVD/Blu-ray digital copy, for example.) Something in the latest iTunes update is keeping it from saving properly to the right directory over a network connection.
If anyone has any network expertise that can troubleshoot this, please advise. Manual drag & drop is becoming tedious.