The Google Play movies applications does support downloading to the SD card if the device supports one and if the OS on the device is also coded to support it. You need to check the settings of the application to verify if your device supports the option.
I'm most definitely NOT a VZW employee. If a post answered your question, please mark it as the answer.
Google Play movies can be downloaded and played from SD card.
Follow the below steps to change download location to SD card:
Launch Google Play Movies & TV
From left tab go to Settings
Scroll down to Downloads section
Tap on Storage and change to SD card
Then proceed to download any video content.