sync preferences
when you click the tab on your iphone screen (the one that comes up in itunes when your phone is plugged in) named ringtones do you have sync all or sync select ringtones. if it is individuals then make sure its selected there too.
Also try this: if you try to play the ringtone in itunes does it give the exclamation point? or does it play? if it gives the exclamation point you need to locate it.