The default projection method is "along face normals". It appears to treat the face normals as a bi-directional projection vector, so you almost always gets a result.
If you're like me then tangency may be important to you.
Take the case of two or more curves which ends meet perfectly tangent to one another. If you project them onto a contoured surface using the surface normals method then tangency is usually lost. If you project along a vector then tangency is usually preserved.
If your curves go through the face or are distributed above and below the surface then you may occasionally have trouble using a vector method.
Think in terms of the simplest example of a curve that you want to project onto a flat surface aligned with the XY plane of your work co-ordinates. Assuming that the curve sits above the surface then projected in the Z+ vector you will get no result, you can only project a curve onto the surface in the Z- direction.
Now logically if you have one curve above and another below the surface then you will always be able to project one but not the other, using either the Z+ or Z- vector.
There is a both button in the projection dialog that may simply solve your problems if that is the case.
In NX-3 if you use the option to project onto a plane then in almost all cases it comes up with a solution, seeming to treat all vectors as bi-directional, (i.e. it behaves as if both were selected when single is active). Similarly there is no both or single option offered when you project along surface normals, (the default method).
In cases where you are projecting along surface normals you may still occasionally strike geometry that is not as expected either because the surfaces aren't very smooth or having a lot of local curvature posses normals that point other than where you may have expected a projected curve to fall. Where surfaces make a concave or convex corner relative to the curves being projected onto them they will have a focal point at center of the corner radius this can also affect your results.
Lastly... Check the move/copy/associate options. In previous versions of UG associative curves balked at being used under the move option etc... Thankfully NX-3 up we aren't seeing these problems any more.
For the other part of the question about trimming a thickened sheet. You could trim the sheet before you thicken it, sometimes the results are okay. The other way is to create a law extension at 90 degrees to the surface based on the projected curves. Using "extend on both sides" may also help. Depending on how accurately you wish to control the trimmed edge use one or more law extensions to create the boundary then sew for use as a trim sheet.
Regards
Hudson.