previously downloaded movies are deleted

This is a little unsettling. When I look at my purchased movies on my iMac, roughly half of them have an iCloud download icon next to the name. Right clicking on the movie poster, the "Show in Finder" option is not there.

I download EVERY movie I purchase so that I it will back up. I should not have to keep doing this. Once I download it, it should stay downloaded no matter what. Disk space is not an issue -- not even close.

26 movies have been removed over the past few months. I don't understand this behavior or why I have to baby sit iTunes.