There's a couple angles you can take on this. My favourite is from the dotCommunist Manifesto:

Society confronts the simple fact that when everyone can possess every intellectual work of beauty and utility—reaping all the human value of every increase of knowledge—at the same cost that any one person can possess them, it is no longer moral to exclude.

Essentially, this argues that the unethical position is the one that creates the false scarcity.

Another less extreme position would be that many countries allow for exemptions for format shifting: if you buy a CD with some music, you're legally permitted to rip it so long as you don't distribute copies. One could argue that someone in your position is operating within the spirit of these laws... provided that you haven't torrented the videos since that necessarily includes some partial distribution.

Finally, the least generous interpretation would point out that you didn't buy the videos in the first place, but rather a licence to let Vudu stream them to you. Given that you don't own anything, you're not morally entitled to own it in a different format. This is why many people have rejected the streaming model.

As someone in camp #1, I think you're a-ok ethically, but I thought you might want a broader perspective.