Hi there thehashbrown,
You may find the information in the article below helpful. It is possible that either the VGA cable or the external display does not support HDCP.
iTunes: Purchasing and viewing HD videos
http://support.apple.com/kb/ht3209
When you purchase an HD video on a supported device or computer, only the HD video will be downloaded. To download the SD version, you need to download the video again from your Purchased page. Conversely, if you purchase an HD video on an unsupported device, the SD version will be downloaded. Then, you will need to download the HD version from your Purchased page. Learn more about downloading previous purchases.
In addition, you will need to have components that support HDCP (High-bandwidth Digital Content Protection) installed on your computer.
Important: Information about products not manufactured by Apple is provided for information purposes only and does not constitute Apple’s recommendation or endorsement. Please contact the vendor for additional information.
-Griff W.