The route I take to choose a custom sound for my messages is Settings, Apps, Messages, Notifications, New Messages, choose my tone of choice that's available in the list.
🏳️🌈Stay Safe 🏳️🌈
Current Phone ~
Samsung Note 20 Ultra 5G SM-N9860_256Gb SnapDragon 865+
Samsung One Ui 2.5/ Android 10.