Are the third party tones/sounds on the SD card? If so, that's why. When Android is loading up, it tries loading everything simutaneously. The sound profile will generally load before the SD card is mounted, so the OS can't find the sound files. If it can't find the sound files, it will use the default sounds.
The only (longterm) fix I know of is to root and manually copy the sounds you want to use to /system/media/ringtones and /system/media/notifications.