This happens when the files are just normal midi files, for Nokia they will have to be in sp-midi format!
Follow this link and download da program, and you can convert normal midi to sp-midi using it! http://cellphoneforums.net/showpost.php?p=342042&postcount=7
It can be to do with the amount of "chords" it supports. some phones have 16 chord some have 35 etc. sometimes the ringtones chord speciffications are too high for the phone to play. or it can just be the ringtone is too long.