Hi, it sounds like you might be converting the sketch onto a plane/face that is at a different orientation to the original, or it might still have relations to other bits of geometry/sketch entities.
If you select the desired sketch and copy it, then select the face/plane you want to paste it onto and paste. It should re-orientate itself on the new face/plane. If you use "convert entities" it won't if the planes are not parallel.
Could you upload any pictures/models that demonstrate the issue so we can see the exact situation you're encountering.