It's pretty frustrating to see this error in iTunes when you have spent a long time downloading some stuff over a slow network. You hit that re-download button, hoping that it will just immediately mark it alright after it has found the already downloaded content, but it starts the download all over again.
Don't click that re-download icon.
In my case when I saw the above error after the download was complete, I found the files hidden in the iTunes folder. I could copy them elsewhere and open the content in VLC.
The folder you will find it in is
$HOME/Music/iTunes/iTunes Media/*