OK, I think I know what's happening although I'm not sure what the issue was that prevented us from making the software work the way you would like it to, and in all honesty looks like it should.
Except for the Drafting case, which I've already confirmed but which is NOT relevant here, it appears that this has to do with what we are not allowing during the editing of an embedded sketch. From your image it appears that you are editing an embedded sketch using edit with roll-back and in this case the system, for some reason, is not going to permit you to create a new associative projection (you had no problems doing something like this during the initial creation of the sketch, embedded or otherwise, however, now you're being restricted from doing so. And before you ask, I can't see what the problem could be that we were worried about and therefore are probably trying to protect you from.
As for a workaround, if you were to first un-embed the sketch (make it external) you can edit it without being restricted in what you can do in terms of adding a new associative projection. Then once your edit is compete and the model has been updated, just make the sketch internal again.
Now for the GOOD news, whatever the issue was, we appear to have overcome it (or at least figured out that there wasn't a problem in the first place) and so in NX 6 the ability to create an Associative Projection works the same whether you're creating or editing a sketch irrespective of whether it's embedded or not. There appears to no longer be any restrictions in this area while working in Modeling (it's still grayed-out in Drafting, but I'm not too surprised about that).
And as a sanity check, the model that I created in NX 5 to test your problem and where I found what you did, I filed that part and opened it in NX 6 and I was now able to edit those embedded sketches and create Associative Projections where in NX 5 I would have seen just the grayed-out option, so it would appear that we have fixed the 'problem', whatever it was ;-)
Now before you ask, I wouldn't hold my breath expecting us to make any changes in NX 5 since you do have a procedure (my workaround above) that will permit you to get your job done.
John R. Baker, P.E.
Product 'Evangelist'
NX Design
Siemens PLM Software Inc.
Cypress, CA