I recently purchased Thunder Step from Xanathar's as an Additional Magical Secrets spell for my bard, but when I go to choose it in the character builder, it's not there. I haven't had this problem with other spells purchased for this character. I've tried refreshing the page to see if that helps, but no luck.

Make sure your Entitlements are in sync.

If it still doesn't work, try bumping your character up one level and then back down; this will force recollecting the data cache.