That's because Google Play download the music into the app making the files only accessible from that app.
You can go into Google Play from a computer and download your music to files you can access. Keep in mind that you can only download songs twice in this manner, so don't misplace/lose those files. This is to prevent piracy of the music.
You can download songs as many times as you would like into Google's apps where you are not able to access the files, but only play them.
I hate that I cant set these songs as ringtones on my phone from phone. I paid for the song I should be able to do what I want with it....
You can make them a ringtone, but there are a few extra steps involved to download them to your computer first and then transfer to the phone.
I'm most definitely NOT a VZW employee. If a post answered your question, please mark it as the answer.
As Ann154 stated, you CAN make these songs your ringtone. You wouldn't want the whole song a ringtone, though, as only the first several seconds would be heard. I use the app Ringdroid to trim the song to the part I want and then save that to my ringtone folder. You need to download the song from your computer, then transfer these files to your phone with a file explorer such as ES File Explorer.