I've had issues selecting curves in various situations. This specific one includes using a projected curve as a guide curve in a loft. I can't select it through the tree, in the viewport or by using the selection manager. To get around this, I create a 3D sketch, click the curve in the tree (because it sometimes can't be selected in the 3D viewport) and Convert Entities. That 3D sketch is then fully usable. Anyone else see this behavior?
For reasons unknown to me, you can only select a curve as a guidecurve or sweep path if it hasn't been absorbed by other features.
This is not the case for 3DSketches.
PUtting that aside, you might try turning on full-scene anti-aliasing in options, increasing the number of segments used to draw a curve in document properties.
Beyond that, it may be that your video card or drivers aren't fully supported.