Sorry to take so long to get back to you, but I wanted to experiment and be able to verify what I am saying. From what I can tell, only music videos can be deleted without totally downloading them to the device. I Tapped on a movie that I had in the cloud and let it play for a few minutes. Then I went and check the settings and the storage left on my iPad dropped. I close the movie, tapped the Edit button in the Movies Tab of the videos app and I was not able to delete the movie, I had to totally download it before it would delete.
When I tap on a movie icon for a a movie that is in the cloud, it begins to load right away. The only way to get to that arrow button is to start the movie, and then tap Done. The. The next time that you tap on the live it takes you to the screen where you see the arrow and the download icon. Even if I tapped the arrow icon, it still started to download to the iPad.