The sounds themselves are not saved into the song. The song can only save notes, controller data and audio. The sounds for each song are selected and saved into a Studio set or a Live set.
I assume that you created a Studio set for this song, with all the sounds that are needed for it. If so, then you'll have to select this Studio set when you play this particular song.
You can program the Fantom-G to select a certain Studio set when you load a certain song. If you do this, then each and avery time you load the song, the proper set of sounds for it will be loaded as well.
If you didn't save your selection of sounds that you initially made for this song into a Studio set, then I'm afraid that your sound selections are gone. But don't be discouraged. You can still create an appropriate Studio set for your song. Your note data will not be affected, they are there into the song file.