There are some things we need to fix, especially on Android. In the current code there is an Android-specific AssetUri property on the Song class. If this is not set, it will default to looking in the AssetManager for the song file at the given path. The AssetManager is where content deployed with the app is found. The location you saved your MP3 file is not accessible from the AssetManager.
What you will need to do on Android is to set the AssetUri property on the Song instance to an Android.Net.Uri instance that describes where the song is located. I don’t have an example handy right now, but this may work for you.
This isn’t a good solution though, and I agree that loading songs is not ideal at the moment. I will add this to my list of things to fix.