No custom ringtones when the screen is off?

[tadrscin#AC]

I searched but didn't find an answer. I've noticed that whenever the screen goes off after the time period set, that I no longer get any of the custom ringtones that I have set for SMS, e-mail or phone calls. Instead I just get a generic tone. Is this normal, and if so, is there a way to change it. Coming from a Blackberry I'm used to always getting my custom ringtones whether or not the screen is active. It seems sort of pointless to have custom ringtones if you can only use them while you're actually using the phone or keep the screen active all the time which isn't good for battery life.