This is happening because you're working in the Hybrid Design mode. And Hybrid Design works a little differently than the old, non-hybrid mode, as you've discovered.
Actually, the previous sketch in not disappearing - it's just being ignored because the In Work Object is higher in the tree. (look at what is underlined)
To see everything, right-click on the Part Body and choose Define In Work Object.
As a long-time CATIA user, I don't like to use Hybrid Design because it works different from what I'm used to, and it does strange things like you've found.