Hey UCFKnightro, Stevecarroll74, and group,
I am having exactly the same problem: ringtones purchased from the iTunes Store will (apparently) not transfer from iTunes to a new 4S. The hilarious part is that we purchased the ringtones ON the 4S itself!
I believe stevecarroll74's fix is a valid fix for what appears to be a similar, but different bug. Regular ringtones (that are not mis-behaving on the 4S) will sometimes not transfer correctly via a sync when called out in the sync list. By dragging & dropping the file icons from iTunes onto the phone icon directly, they will then transfer successfully.
In this case, however, when I drag the file icons onto the 4S icon, iTunes acts like it is moving them. However, in the sub-folders of the 4S, these files will then have an "!" icon to their left, indicating that something is wrong with the file. (E.G., when iTunes can't locate a previously imported track because the source directory is offline or something.) In this case, it looks almost as if there is some mis-match between iOS 5's understanding of these files, and iTunes' understanding of them. iTunes is handling them just fine (purchases transfer, play, can be told to transfer,) but iOS 5 appears to be refusing them.
Unless we are completely missing something, this is a genuine iOS 5 bug that Apple will need to address.
We should all bug-sub this under apple.com/feedback.
Please post back if you get a solution!