Maybe I've missed something really basic, but I always assumed that if you were in a sketch, you sketched according to the part coordinate system. So if you are in the Right Plane and create a line from the origin immediately to the right, it should be going in the Z direction. But its not. Until you actually place the line, the system bar at the bottom says that you are going in the X direction. See the attached picture to see what I mean.
Hope that makes sense. Is this always the way it has been?