Not for me they don't. Only the system sounds available out of box. Same results on the kindle fire, Archos 28, and eclair-running Coby Kyros. This is in settings-->sounds-->notifications, not in-app.
Btw my sounds are mp3s, not oggs
Samsung Galaxy S3 (Stock, rooted TouchWiz)
Samsung Galaxy Tab 3 7.0 (non-rooted, stock)
Samsung Galaxy Tab 2 10.1 (obsolete, slow, rooted)
Samsung Galaxy Note 10.1 2014 Edition