No, it won't... but there is a solution. 🙂
Sync with your main library, but then turn off syncing for music, movies, etc in iTunes. Then every time you sync, it will copy off the purchased files from the ATV and into your library... on top of that, it will delete the files from the ATV when it is done syncing. You will be able to use 'My Movies'/etc to stream files from your main library.