The TD-17 can only import WAV files at 44.1 kHz, 16 or 24-bit. Files with other settings will fail to import.
Music bought from an online store or ripped from a CD is usually saved as MP3 or M4A, not WAV, so the TD-17 cannot use it as is. Use a free program such as iTunes, Windows Media Player, or Audacity to convert the file to WAV (44.1 kHz, 16 or 24-bit) before importing it.
If a file already has these WAV settings but still will not import, it may contain hidden extra data inside the file, which is common with files made in music production software. To remove this hidden data, convert the file to Apple Lossless or FLAC format, then convert it back to WAV (44.1 kHz, 16 or 24-bit). This process clears the extra data and usually solves the problem.