Open iTunes, right click on the movie, and select delete. You will be given a prompt asking if you want to remove the file from your library but keep the file, or move the file to the trash. You will also be asked if you would like to hide the movie. Choose the option to move the file to the trash, and then empty the trash can. If you do not hide the movie after deleting the file, you will still see the cover for the movie in your library; this is not a copy of the physical file, but a place holder meant to allow you to redownload the movie from iCloud. If you don't want the cover to remain as a place holder, you can right click on the cover and select Hide. Note, that items you hide will have to be unhidden before you may download them again.