Your iTunes purchases can be present in your library or visible as a cloud link which can be used to stream or download them. In addition you may optionally hide past purchases so that the cloud links don't show. If you get the hide prompt when you try to remove something from the library then you're looking at the cloud link, so there is no space gained if you hide it. If you had the remove download prompt then that would free up space.
See Hide and unhide iTunes Store, App Store, or iBooks Store purchases - Apple Support for details.
You could do a quick visual inspection of your Movies and TV Shows folders to make sure there are no files in there that are not currently connected to the library.
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