If you want them removed from the drive you can delete them directly from the iTunes folder.
You will need to go to your home folder via Finder then choose the Music folder, followed by the iTunes folder
Next, select iTunes Media then open the downloads folder and delete the movies/videos from there.
If you need to delete music, choose the music folder instead.
To make things easier you can type these breadcrumbs into Finder search by opening Finder, clicking on GO in top toolbar
and choose "Go To Folder" then enter the breadcrumbs below.
Be sure to type the name of your home folder just as it's presented to you on the screen:
/Users/yourHomeFolderName/Music/iTunes/iTunes Media
Hope that helps.