I like this discussion. Finally we are getting down to specifics. Thanks. I'll take some of your thoughts one at a time.
"Lets say you draw your first component very simple, then you import your second component and mate it to the face of the first. If you want to project geometry from your second component to the first components sketch, you cannot. "
This is true. It's because the sketch comes before the inserted component in the history stream.
"You must create a new sketch and a new extrude feature. "
This is what most people do. Can you explain more fully why this is a problem? In my experience, multiple sketches in a design is a good thing. It helps break the geometry into distinct groups that perform design functions. Also makes for very easy to edit sketches. This is the absolute core of how to teach parametric modeling to people. My opinion is based on thousands of classroom hours teaching Inventor (and Fusion 360) and tens of thousands of hours designing mechanical parts and assemblies using Inventor and Fusion 360.
"Surely I could have started with the imported component and built the first off of that, but that's building backwards, not forwards... ie I'm used to building a frame and adding components, not starting with a router spindle and building backwards to the frame."
Depends on what you are doing, but generally the frame for anything I make is only a vague consideration (such as a layout sketch for proportion, or a surface body "envelope" to work in) until I design the actual working parts and solve the actual design problem. The "frame" is never the driver of the design problem. Do you design spindles? Even if you did, wouldn't you care more about the job the spindle does, and where it does the job, before you design the machine that holds it? In interested in your design philosophy in this regard.
Some examples below.
For the speaker box, the design problem is a configurable volume of air. I need to make the box first, thus solving the design problem, before I add any parts that create references.

The amp design is wrapped around the circuit board. So the circuit board comes first. If the circuit board is changed by the EE, then my model will update around it.

Phil Eichmiller
Software Engineer
Quality Assurance
Autodesk, Inc.