Adding a Curve to a Sketch and Projecting a Curve into a Sketch are two totally different operations.
Any curve can be Projected into a Sketch, even if it's its own feature, like a Smart Curve or it's part of another Sketch. And this projection will be associative, which means that if it IS a Smart Curve or part of another Sketch, that if must have an older 'Timestamp' than the Sketch that your trying to project it into.
As for Adding a Curve to a Sketch, first the curve cannot be a Smart Curve or be part of some other Sketch. It must be a so-called 'dumb' curve. And it must lay either ON the plane that the Sketch is being created on or at least on a plane parallel to the plane of the Sketch. Only then can you ADD a curve to Sketch. And since the curve actually becomes part of the Sketch, there is no need to create any associative relationships since they are not needed.
Now that being said, there are some issues if you do ADD curves to a sketch which are NOT on the same plane as the Sketch itself. To start which if you have some curves on the sketch plane and some not, it may not be possible to use this sketch to create a feature like an Extrude or Revolve if you intend to use ALL of the sketch curve to create the feature. However, if you were to select ONLY the curves which either lay on plane of the sketch or the curves which lay on the same plane but not on the plane of the Sketch, then you can use these curves to create a feature, but you can't mix or match, however you could create separate features, first using one set of curves from the sketch and the second from another set of curves in the same Sketch as long as they follow the rules outlined above. Of course, there is nothing preventing you from converting either the curves on the plane of the sketch, or the curves on the parallel plane, into Reference Curves which can still be used to constrain other curves but which will NOT be used to create your next feature.
Anyway, I hope this helps clear-up what you were seeing as an inconsistency.
John R. Baker, P.E.
Product 'Evangelist'
Product Engineering Software
Siemens PLM Software Inc.
Industry Sector
Cypress, CA
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