Same issue here. Outrageously, it seems Apple don't care about customers enjoying their purchased movies on the Mac. I left a feedback on Apple Product Feedback - everybody let your voice heard too!
On the Mac, cannot download or view previously purchased Movies.
Family Sharing is activated. In iTunes on the Mac, when I go to Store / Purchased or Account / Family Purchases, I can view and download music tracks and albums from any family member, but not movies. The movies tab is blank, both for myself and for family members. Sometimes randomly some movies would appear but the cloud icon (which should be on the top right corner and allow downloading) just isn't there, for any movie and any family member.
We also have iPhones, iPads, an Apple TV 4K, and movies behave as expected on those devices: when we go to family purchases, we can view or download any movies that either myself or family members have purchased, therefore everything appears to be set up correctly on our accounts and family sharing. The issue only occurs on the Mac with iTunes, for movies.
macOS High Sierra 10.13.2.