If the ringtones are on your file system as individual files, physically you should be able to use a file browser app to copy them to elsewhere so that you have a copy in case Zedge deletes its copy of them during the uninstall.
Whether or not this violates the license agreement with Zedge, I cannot say.
Welcome to Android Central! I'd say it's fine. Zedge allows anyone to download ringtones directly from their website, which you can then move or copy to the phone's Ringtones, Notifications, or Alarms directory -- so I doubt that keeping the tones while deleting the app would violate anything.