I have an Htc Evo 4g, and I downloaded a song from the google play store. My music playing app is Play Music if you need to know. When I go to settings and hit sound the song isn't in there, and I've tried going to add music, but it's not there either.
I don't have the same phone but think your situation may be similar to mine. U can download the song but can't make it a ringtone. They actually have u download the ringtone version of the song to make it a ringtone even though u already own the song. When I go to the iTunes Store for my phone there's an option to download the song in its entirety or download the ringtone version. So its like they make u pay twice kind of if u want both