Only AppleTV1 shows under Devices.
I've always preferred purchasing in iTunes except for rentals where often HD is only on iPad or AppleTV. You know where you are with itunes, AppleTV can be confusing.
AppleTV2 does notautomatically sync a movie back to iTunes (great job on confusing older 1dt gen users with this from Apple!)
AppleTV 2 and 3 do not store anything, they only temporarily download/cache for viewing.
Whether or not your movies can bd downloaded depends on where you live and which studios released them.
Not all movies are available in the 'Cloud', only certain studios and AFAIK only in the US.
You need to go to iTunes home page with the house icon - then check Quick Links on the right for Purchased - any redownloadable cloud content will be available there, i hope you get movies listed, I don't in the UK.
AC