I have never noticed or used that rotate handle. I presume the holes is moving to the planar direction of the handle, so is that what you were asking for?
As far as I know, holes are normal / flipped from the plane of the sketch point / face selected at the time of creation.
Might help...
It's because you selected a curved surface as the face, the hole will end up being perpendicular with respect to the selected point on that surface.
You need to create an offset plane, project the cross-section of the annulus body, and sketch the hole center point on that...
If you use the hole operation, there is more work to complete the process, but you can achieve the same with two extrude operations...