I know this is an old topic but others like me may come here for solution still although I found the answer of adding new sounds to notifications in a different thread.
I too couldn't find the Notifications folder were notification sounds were in my phone, so as seen in another thread, you can go to the location of were the Notifications folder should be and create your own Notifications folder, then copy or move your downloaded sounds to then go to Settings, Sounds, Notifications and those sounds that you copied into your new Notifications folder will be there along with the default Notification sounds that were already listed as sounds to select. The location were you need to create a new folder titled "Notifications" is Internal Storage then Create Folder and as said, name the folder "Notifications". Then wherever the sounds or music files you want to be listed in the sounds available for Notifications are, go there in your File Manager and copy those sound/music files and then go to your newly created Notifications folder and copy them into that folder. Then go to Settings and Sounds and select Notifications and then your new sounds/music files will be listed along side the sounds that were already available for selection.
I did all these steps and every sound I copied into the new Notifications folder were all listed for selection along side the default sounds!
Hope this helps those of you like me and everyone else who couldn't find the default Notifications folder were it was meant to be, which is the location were you just created a new Notifications folder. How the new folder and sounds in them update the list of available Notification sounds along side the default sounds list I don't know, but hey, it works!
To reiterate, the location were the folder should be created is in the very next page after you click on Internal Storage in the File Manager. See screenshots.
So create it at Internal Storage > "Notifications"
...and then copy your sounds/music directly into the newly created Notifications folder like so...
...going to your folder were your sound is stored, long press on the file then tap Copy or Move.
Then head back to your newly created Notifications folder and tap on the Copy Here button...
And as previously said, head to your phone Settings > Sounds and vibrations > Notifications and you'll find the sound(s)/music file(s) you put in your new Notifications folder in the list like so...
Hopefully all that makes easy sense to everyone, so enjoy your own custom notification sounds from now on!
Cheers ☺️
