Hi,
When you start a new sketch it will first ask for a Surface to put the sketch onto. A Surface can be a Plane OR literally a
surface. So the basic case it will ask for the primary planes at the Origin where X is Red, Y is Green and Z is Blue. Here
fusion is offering the XY plane to you but nothing is selected.

When you hover the mouse over the selected plane it goes grey.

And when you left click on it the plane rotates flat with an overhead view of the plane you selected.

Here is the Origin with the green Y axis oriented up and the red x oriented across.
So now you can start sketching.
You can also start a sketch on other planes you may have created.
Here is an Offset Plane I have created from the XZ plane and choosing it works the same way.

Planes are not the only Surface that you can use to create a sketch. You can also use a actual surface.
Here is a simple cylinder I created by drawing a circle on the XY plane and extruded into the Z plane.
I have hovered the mouse over the top of the end of cylinder and the surface has turned a lighter colour.
If I click it will create a sketch on this surface.

This is useful if you are creating a Component "in place". I can create a sketch like any other sketch but it is ON the face
of the Component I started with.
I don't actually know if there is a way to tell which surface you are on while you are sketching but once you have
created a sketch you should be able to look at it and work it out.
Cheers
Andrew