If your wanting to "Dril" the hole on an angle, the way your going at it is kind of like apples and oranges. You need to go one way or the other.
Using sketches, at the moment you need to build a helper Sketch/Pad to set the angle for the pocket. After the pocket is made, you can pocket away the helper Pad and be on with your work.
Or, if your wanting to use the Lofted plane, like to make a compound angle, then you would use the CSG method and using the Edit > Alignment tool, you align the end face of a cylinder into the Lofted plane and do a Boolean cut.
What your trying to do there in your example will not work because while the Lofted plane is attached to the cube, it is not part of it's geometry, Because of that, you are getting to results you see. At some point in time, you will be able to set a working plane in the Part Design Workbench and get the results your wanting, but until that day comes, the two options you have here in this post are your easiest choices to get the result your looking for.
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