I believe that the music is stored in the system folders, not in a place that the casual user can find it. I pinned all my music and, like you, couldn't find any of it. But it was all in the app.
Frankly, I never figured out precisely where it's stored. I know that when I wiped the phone's system partition to flash a new ROM, it downloaded all my songs again... resulting in 19GB of data in one month
Good thing I have unlimited data! (I have since unpinned my 900 songs)