For ease of use for newcomers to this thread, here’s the solution (for now)
For anyone who hasn’t yet solved this, the solution is actually buried in this thread.
When you create a sub-task, it’s not “automatically tethered” to the project. So open your sub-task, click on the right panel, and type TAB+P. Then you can pick a project to tether it to. NOTE: You have to do this individually for all sub-tasks.
(Evidently we can post feedback on this to a related thread in the Product Feedback section)