Where is my download from iTunes?
From the Recently Added playlist you should be able to right-click (or ctrl-click if you don't have a right mouse button) and choose Get Info. Under the Options tab on the Get Info pane there is a choice for Media Kind. If that choice is set to Movie (as it should be) then you should be able to see it in your Movies list. Can you show the list of all things in your Movies and sort by Date Added?