Yes, the files you purchase you have some limited control over; ones you rent you do not.
Music - You purchased (or uploaded your own) music to Google's Servers. You have a license to these media files. They can be downloaded off the Web version of Google Play Music, or with Google Play Music Manager.
Books - You purchased the book, you have a license to these media files as well, some of these files allow you to obtain copies outside of the Google Play Books app, via the web store.
Web Play Store > My Books > A Book I Owned > How To Read should present alternative methods to download.
Movies - You rented the movie. Google Play Movies does not (yet) support purchasing of movie media files, as such it is not yours to do with what you wish. You are limited on time to watch it and availability to move it. You are able to watch it on the Web, Tablet or Phone.