Some more help to clear the confusion...if you are using custom sync...
When you choose custom sync on iTunes and download something ON THE ATV, that item will automatically be sent back to the computer running iTunes...however, iTunes does not automatically add that item to your custom sync...
...so what happens, you buy something on ATV, ATV syncs it back to iTunes, then the next time they sync, that item will be removed from your ATV if you have not updated your custom sync to include the item...it can be a pain...