iCloud automatic downloads not working

I have one iTunes account which I use on my Mac, iPad, and iPad. If I buy an album on my iPhone or iPad, then it shows up as available for download on the other iDevice but it doesn't show up as an available download on my Mac.

For example: if I buy an album on my iPhone, it also shows up as available for download on my iPad. But if I open iTunes on my Mac, and find the same album in the store, then iTunes acts like I haven't bought it already. I can download the album to my iPad for free, but I have to pay again to download a copy to my Mac (even though I've paid once already).

Does anyone know how to fix this? My understanding is that iCloud should make the album available on all my devices, including my Mac.

I can turn on automatic downloads under "Store" in iTunes preferences, but if I check for automatic downloads nothing shows up. I'm in the UK, so maybe it's a licensing issue?