Do you have your ringtones in a folder titled ringtones? I did this on mine and seem to remember them not showing up in my music player when I was using it.
I (and many other people with the captivate/galaxy s) have had issues with the stock music player, although not directly related to the issue you mentioned. I believe that Meridian does what you are looking for, but doesn't look quite as nice as the Samsung app. I can't check because I decided I liked the look of tunewiki better (it doesn't have the ability to choose your folders.)