If you bought a movie from iTunes, there is not a legal or maybe even not a possible way to burn it to a DVD. The movie file is encrypted in Apple's FairPlay digital rights management technology.
If it wasn't, Hollywood would not even allow apple to sell or rent movies or TV shows.
Blame Hollywood and their slow to adapt business models. The problem is that it easier to pirate movies to use them in any way you want, than to actually buy them.
Hollywood 1.0 didn't learn from record industry 1.0, therefore piracy is becoming larger for films than music. At least with music from iTunes we can burn a CD. Movies to DVD, not so much.
Movies are still locked to their ecosystems, iTunes locked to iOS and iTunes Macs and PCs, google movies locked to web browsers and android, amazon movies locked to web browsers and limited hardware devices.
None of these services will allow your to burn a movie to a DVD. It's unfortunate when someone like yourself tries one of these services than BOOM, I can't what I wanted with a movie that cost just as much (or more) than at best buy.
The download instant gratification and convience is overwhelmed by the frustration and inconvenience of limited playback options.
Edit:
At least you have a nice 27" screen to watch the movie.
Also, you can burn the movie to DVD as a computer file, as backup or to move it to another Mac/PC with iTunes. It will not playback on a regular DVD player. It will also play on iPhones, iPod Touches, and iPads, which can be connected to a TV. There is also the AppleTV if you have compatible hardware.