iTunes library on network storage, movie problems

I had originally stored all my purchased movies on a USB drive plugged into my Airport Extreme. I started running out of room so I decided to buy a larger NAS drive (WD My Cloud).

I made a folder on the drive and mapped it to drive M on my Windows 8.1 machine and I moved my entire iTunes library to that drive.

Everything seemed to be working fine but I started noticing some movies appeared in duplicate folders which had slightly altered names.

I checked the movie files in iTunes to see which files they pointed to and deleted the other one.

Unfortunately this somehow caused iTunes to say it couldn't find the movie. Even if I tried to locate it it wouldn't recognize that file as a valid movie.

So I don't know what happened but now, I have lost those files I deleted. So I thought I would just go ahead and re-download them from the iTunes Cloud.

I pick a move, say "Brave". I tell it to download. I watch the file progress and it completes. But iTunes shows no cover art and says the file cannot be located.

I browse the folder on the WD My Cloud drive and the folder is there but no movie file.

I have tried this several times with the same result. What the heck can possibly be happening?

I have made sure the NAS drive's firmware is up to date.