Maybe it's the way I've learned to use the SolidWorks UI over the years, but sometime around SW2014 the centerline/construction-line icon started to behave differently.
My habit has always been to deselect the construction line icon when I have finished creating construction lines for a sketch I'm working on. In the old days, that was it. Back to neutral and out of sketch mode.
But now when I deselect the construction line icon, the line command activates. Which means I have to click one or two more times to finally get completely out of sketch mode.
This has been a nagging issue for me and I am embarrased to admit I can't figure out how to kill this behavior. It's driving me crazy.
I hadn't noticed because I have Mouse Gestures for both construction and conventional lines, but I see what you mean. When I use the icon from the CommandManager to start a construction line, the command is active but the icon doesn't look like it's selected, though the Line button does. I can place a construction line and then go back to the icon. I have to click on it twice to escape the command.