Your terminology is confusing. From where are you following a link? From the iTunes application or from your device? You say you are backing up from your i-devices but then that has nothing to do with the Store.
It is no longer possible to backup apps from a device to iTunes. Recently apps downloaded directly to a device are customized for that particular device. In order to avoid having 3 different versions in iTunes from backups Apple stopped saving these customized versions. It should not result in a downloading message though, it should simply be greyed out according to what others have reported (I own no apps so I can't check). It is still possible to download directly from the Store to iTunes. This results in a slightly larger non-thinned version of the app to be placed on the computer.