When you create features, you insert the new feature into the setup and UCS that is currently active. You can create profile curves in any convenient UCS. For 2 1/2D features, create each curve in the XY plane (or parallel to the XY plane) of the UCS. You can then use a curve to create a feature in any setup whose XY plane is parallel to the plane of the curve.
Click the Setup icon in the Report bar to open the dialog box where you set the current setup.
Click the UCS icon in the Main Mode bar to open the dialog box where you set the current UCS.