Maybe I'm overlooking something, but when I go through the Videos app on my iPhone, it shows all my videos I have purchased through the iTunes Store, but I don't see an easy way to show which videos have been downloaded directly to my device.
Thanks, but unfortunately it seems that if you have multiple Seasons of a show, it still shows the cloud icon, so you have to go in individually to find out what you have on the device. Seems very clunky and non-intuitive to me.