I understand what you are saying, it is difficult to get access to Play Store audio files stored in the Play Music app even if they have been 'pinned' to the device as I mentioned above. I have even tried a File Browser like ES File Explorer to search for Play Store music that appears in the Music Player app but I can not find them. Google must store their music in the memory and not SD Card? If I manually put a audio file in the Download Folder or Music Folder it does appear in the Your Music (tagged) section in the Ringtone Selector.
I think that is the only way for the alarm to access audio files, by manually adding them to the Download Folder or the the Music Folder and not the Podcasts Folder. That was my error because files added to either the Podcasts Folder or Music Folder both show up in the Music Player app, and most of my audio files were stored in the Podcasts Folder because they are podcasts. I have now moved all my non Play Store audio files into the Music Folder, and all the audio files show up in the Your Music (tagged) Ringtone Selector.
It is a shame you can not get access to music purchased through the Music Play Store, I guess a way around it could be to download the music from my Play Store account to my PC, and then add them to the Music Folder. I'll give it a try tomorrow.
With the standard Android 4.2 alarm all I see is just the basic Android alarm sounds. I have not tried any other alarm apps.
I am using a Nexus 4 with everything up to date with the latest OS and apps and services.
I hope that information is not too confusing, and maybe it will help others.
Cheers.