Those christmas songs aren't on your phone and if you go to "Downladed", they will not show there. And if you don't see "Downladed", go back to "library" and tab "Edit".
Make a playlist without those songs and press the shuffle button on your phone's playlist or tell Siri "Shuffle *playlist name* playlist". Still, I agree that it would be good to control what part of your master library syncs to the cloud.