I think you did it right, but I'm confused. You did get your hole location
to stick to your reference point by manually making a coincident mate,
right? If so, that would be how I have always done it. When you do the Hole
Wizard, after picking the hole from the tables, it puts a hole "on the
origin". Notice the Point feature is turned on. I turn it off, and then make
the coincident mate or whatever mate is needed. You can drag the hole out if
you need to. I think your finding that the hole wizard doesn't "lock" the
holes location point by default.