How can I save iTunes videos in my icloud?

You can't save videos you purchased from iTunes to iCloud. In most countries, you can re-download purchased videos as often as you like as long as you're using the same Apple ID. It's not a bad idea, though, to keep one copy downloaded on to your computer (through iTunes).

You can't save your iTunes films and/or TV programmes in the cloud, whether they will show in the cloud for redownloading in the Purchased tab in the iTunes app depends upon what country that you are in (they can't be redownloaded in all countries) and whether they remain in your country's store (rights-holders occasionally remove their items).

You can copy your iTunes downloads to your computer's iTunes library via File > Devices > Transfer Purchases so that you can take a backup copy of them, and not have to rely on being able to redownload them from the store.