Using 'File --> New' and selecting the 'Assembly' template to create a new Assembly file while in the Drafting application, causes the Sheet dialog to appear, instead of the Assembly dialog to appear.
This issue is fixed in NX2406.
The resolution for NX releases prior to NX2406, is to switch the application to 'Modeling' prior to executing the 'File --> New' command when using the 'Assembly' template.