Hello, Mike.
I am guessing that the message was: "This movie cannot be played because a display that is not authorized to play protected movies is connected." To view HD video on an external display, the display must have a digital connection (DVI, DisplayPort, or HDMI) and also support HDCP. If the projector is HDCP compliant, then the issue would be related to the connect between the Mac and the projector. I would recommend trying with one of the approved digital connectors.
iTunes: Purchasing and viewing HD videos
http://support.apple.com/kb/ht3209
Hope that helps,
Jason H.