If movies are disappearing in both Apple TV *and* iTunes*, my guess would be related to your account.... Otherwise its probably a firmware issue
I'm having the same thing on Apple TV, except their not disappearing, but Apple TV things i have not bought them, but they play ok in iTunes.
Rather than try and chase Apple around for answers, i put this down to a firmware issue..... If its like, happening all the time Apple can at least look into it,,, Much harder if it's in intermittent like mine.
Good luck.