Series episode is not available on Apple TV

First I have the latest 2nd generation Apple TV with the latest software.

I bought a season several weeks ago and today got an email at 6:57 AM saying the latest show was available.

At 8:45 PM it was not in my Purchased TV folder. I checked for updated Apple TV software and installed the latest update. Still not in my folder. I removed and re-added my iTunes password. Still not available.

Earlier today iTunes on my PC was updated. (I have never watched a TV show in my Apple TV from my computer over the via iTunes.) When I opened the updated iTunes it started downloading 3 episodes of the series: the latest in HD and SD and the previous episode.

After the HD episode was downloaded on my computer it appeared in my Apple TV's computer TV show folder along with two prior episodes. The first episode did not appear and was apparently never download when I purchased the season.

After all this the current episode plays ONLY from my Apple TV computer TV folder, not my Purchased folder. It appears in my Favorites and will let me buy it for $ 2.99 even after I've already bought the entire season.

The email from 6:57 AM told me

"If you purchased your Season Pass on Apple TV you will automatically receive new episodes if your iTunes Store password has been saved. To manually check for new episodes, select Settings from the main menu, then select Downloads, and Check for Downloads."

but my Apple TV before and after the latest software update had no Downloads folder in the Settings menu. One other menu had a Rentals folder but there are no rentals anymore.

What the heck is going on? I don't have these problems with Amazon.com purchases on my Roku. What I buy is available immediatly and it doesn't try to let me re-buy seasons I've already purchased.

Very, very frustrated with Apple TV seasons purchases!