Azura,
I had some free time to go through your scenario, and it seems that you've come across a software bug with CATIA.

My previous post was incorrect, with your specific scenario.
I noticed that you are able to select and fillet one edge if the hole sketch is based on the XZ plane, but not with the YZ plane as you described.
I noticed the same problem when attempting to chamfer one edge only. It also occurs regardless of how the hole is modeled; either as a Pocket, Hole, or Groove.
I suggest you work with the System Administrator at your company and turn in a PMR (Program Maintenance Report) to Dassault.