"Do the note" doesn't really make sense. One might say it on some occasions, as Katie points out, but it's not a normal way of saying to play a note.

Hmm. “Do the note” sounds wrong because notes are played (or sung) not done. But, “Somethings not right. Can you do that note again.” sounds ok. I think it’s because you are emphasising someone should repeat an action they just did. “Play that note again” or “try that note again” also work in that context. But if I was pointing to a keyboard I would say “play that note”.