iTunes cannot watch or download one TV series

Hi,

I can't download, watch or delete a tv series I bought in iTunes. On PC, right-click only gives option to view in iTunes store which then only gives "play" button for each episode. Right-click delete does nothing. Right-click Info lists each episode's location as iCloud. The series doesn't show up in my Apple TV library. The is no folder or file in the iTunes library path on my drive anything like the series name. I have reinstalled iTunes but it made no difference.

May I please have your suggestions?