They come with the boxed version only, not the downloaded version of Vegas. There is no way to download them afterwards. With some creativity, you can make them yourself with drawing software like Windows Paint or Tuxpaint. See some of my experiments here:
http://nl.youtube.com/watch?v=9BfGVkkhT64
and http://nl.youtube.com/watch?v=gAd2aLYaosI

Using mattes in Vegas Movie Studio Platnium:
1. Arrange your clips on the timeline.
Track 1: matte
Track 2: your video clip
Track 3: background animation (or different background video clip)

2. Click the Track FX button on Track 1 and select the Mask Generator tool.

3. In the Mask Generator dialog, select a Luminance key from the Type dropdown. (depending on the matte, You may also need to click the Invert checkbox to get the effect you want.)

4. Click the Compositing Mode button in Track 1 and select "Multiply (Mask)" from the menu.

5. Click the Make Compositing Child button in Track 2. (arrow points up) (leave the compositing mode in track 2 to "Source Alpha")

6. Click the Make Compositing Parent button in Track 3. (arrow points down) (leave the compositing mode in track 3 to "Source Alpha")