iTunes U Course Downloads - Not being retained after download is complete

I was trying to download course materials - specifically a video of a course. I tap on the cloud icon next to the course and see that it is downloading to my iPhone - I wait till it has completed downloading. I'm thinking at this point that I have my course and it is saved locally to my iPhone. I go about my business for the rest of the day and then return to the ITunes U app and go to Materials to start my downloaded course. I see that the cloud icon has returned on the course I had downloaded previously and was about to view. So to me it appears that iTunes U has removed the downloaded course and now it is expecting me to download the course again which I can't do because I'm in a subway tunnel and don't want to use up the cellular time to do it. What is going on here? Is this an iCloud bug of some sort. Please advise.. I have the current rev of iTunes U Oct 22, 2015 Version 3.1 on an iPhone 5S running version iOS 9.1.