I asked this very same question of the developer of the Ubuntu One Music Store Rhthmbox Plugin when it was under development. His response was that the music is in a separate folder because if you synced your entire ~/Music collection you'd (probably) quickly run out of space in your 2GB free space. So only your purchased music is (by default) sync'ed.
Back then you couldn't actually sync random folders as easily as you can now, so it made sense to keep your purchased music separate from your massive Music folder.
He also countered my "I want to see the files" point with "why?". Rhythmbox is quite capable of showing you your music files, can play them, and even load them onto your music player. What's the advantage to being able to see the files in a file manager?
I personally see his points. By way of a comparison, on my wifes OSX Mac there is Music in iTunes and I have no idea where it is on the filesystem, and frankly I don't care :) It gets backed up, and in iTunes I can drag it to a player device if I want to.
Guess the same is true of Rhythmbox. I have learned not to care :)