If I purchase a movie on iTunes, can I download it and burn it onto a disc?

If I purchase a movie or t.v. show on iTunes, can I download the movie and burn it onto a disc? I bought a season of a T.V. show years ago which iTunes then removed from their library, so I was never able to access it again. I never tried to burn movies that I bought and/or downloaded from iTunes but I don't want to purchase anything else again on iTunes if they're going to remove items willy-nilly after I've paid to own it. I ended up buying DVDs of the show from Amazon so I essentially paid TWICE for the same thing because of Apple screwing me over.

Thanks.