The LotR digital copies do in fact come with Extras. In fact, I'd say it's a pretty rare exception that any digital copies (even those that come on disc) would not come with Extras. If you didn't get the Extras the first time you downloaded, it might have been because either the disc was required or Extras weren't available on that movie when you first downloaded. If the iTunes version of the same movie (has to be the same exact version) has Extras, try deleting your copy and redownloading from iTunes in the Cloud via the Purchases section in iTunes. I've had this work on pretty much every iTunes movie I've got via digital copy code (out of about 30 that actually have Extras in the iTunes store). Several didn't have Extras when first downloaded, but then Apple added Extras later on (which has happened a year after release or more).
The other nice benefit of iTunes in the Cloud is that you can also get any updates to the movie encode when Apple updates the file. Again, as long as it's the same exact movie in the catalog, you will receive any updates Apple makes into the future. This benefit usually comes when older movies with sloppy HD encodes get anniversary updates on blu-ray and the studio sends Apple a much improved version of the movie to replace the old version.
