I said to create a folder in your internal storage, not your SD card. Now Google make this more confusing by having a "/sdcard" directory that is really internal storage (they call the actual SD card something different), but if you have actually placed it on the removable card that might be the problem.
I never use the "My Files" thing, but if you don't have the folder in your internal storage I would hope it would be capable of creating one. If not then install a better file explorer (I mainly use Solid Explorer, but there are many that are better than My Files IMO).
I don't use Line, but Skype will use sounds from the Notifications folder in your internal storage if it has one (I checked, and even for calls it looks in Notifications rather than Ringtones). If you use a file explorer to select sounds rather than the system sound picker you should be able to choose sounds from any folder, but if you clicked "always" when choosing an app previously you'll either have to clear that app's default actions (Settings > Apps, select app, look for "defaults") or else install a new app that can carry out the action. The system sound picker will however look in your Notifications folder (I recognise the "custom" options on my s21 as the files in my Notifications folder).