If you went to the location I specified using a file explorer set to show hidden files and you do not see anything there, then you did not successfully download any movies to your SD card from Google Play Movies.
For Samsung Hub, although I have not purchased any movies there, they should be in the hidden folder .samsungvideohub
Edit: I just downloaded a video from Samsung to my SD Card and confirmed that it is in the above location on the SD card and is playable from there in both the stock video player and MX Player.