I then discovered this discussion with research: http://xboxforums.create.msdn.com/forums/t/21926.aspx "For anybody running into a similar problem in the future, take note that files with a .wav extension can have quite different data formats. See this wiki page for a bit more information. Notably, some .wav files can even use an .mp3 codec for compression! If you find the content pipeline unable to build your .wav files, check the underlying compression method (or lack thereof). For something like Audacity, you can pick the Uncompressed Export Format under Preferences -> File Format and ensure you're using something with PCM (like "WAV (Microsoft 16 bit PCM)").
To be fair, the documentation doesn't seem to mention this limitation. The MSDN page for the content manager doesn't even mention that .wavs can be imported and SoundEffects processed by default with XNA 3.0."
It would be my suggestion to use the format XNA prefers to solve this audio codec issue. I am familiar with audacity, so I should be able to convert your file but this is an FYI.