You don't download purchased movies to iCloud. You transfer you purchased media to your iTunes library by connecting your phone to your computer, opening iTunes, then going to File>Devices>Transfer Purchases. You can then sync it off your iPad by unchecking Sync Movies on the Movies tab of your iTunes sync settings, then clicking Apply at the bottom to sync your iPad. You can later sync it back from this tab if desired.
Also, the iTunes store will keep track of your purchases, and if permitted by the studio, in many countries you can redownload the movie for free, as discussed here: http://support.apple.com/kb/HT2519.