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Are you changing it from Settings>Sound>Notifications or from within the Messaging App, Menu Button>Settings>Notification tone?
Ah, Handcent was my Plan B
personally I prefer it to the stock messaging app anyway. Just remember if you are going to use Handcent then turn off your notifications in the stock app.
The main thing is you now have the message tone that you really wanted, even if it was a bit of a roundabout way of getting it. 