All my purchased movies are now on iCloud only. Why?

I recently transferred my iTunes library to a larger 6T desktop hard drive. Unfortunately, all my movies, TV shows and music are now showing up as being available on iCloud only. Using AirPort, it can take up to an hour to load one movie. I'd like to be able to instantly use the file that's already in my library instead of waiting for the download (again). What did I do wrong when I transferred my library? I thought I followed the instructions, but apparently not. Thanks for any help.