Probably because the midi synthesizer in your phone doesn't support it. (It could also be possible that your phone uses a different MSB/LSB for instrument selection, but I wouldn't count on it).
no, i don't think so. there's all kinds of wacky sound effects in the basic midi soundset: bird, dog, horse galloping, helicopter, laughter, screaming, applause... actually applause works on the phone but it doesn't really sound too good. but the built in "old phone" sound effect is good though.
are phones out that can have wavs as the ring yet? i want it to be my voice saying "ring ring"
Check out this project that transforms normal sound into midi notes so it can be play over and over again,
it's developed as part of a degree project at the Royal Institute of Technology (Sweden):
The sound clip may not play if the file type was not supported by the phones preferences. Sometimes you need to install an audio converter in your computer. And from then on, you convert the sound clip to a new file type.