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To add a new dimension to the system; first select the dimension icon, then select the system and then select the geometry to be dimensioned.
To move a dimension system; first select the Dimension System Selection Mode icon, then drag the system to where you want it. Click in the background when your done, and don't forget to turn off the Dimension System Selection Mode icon.
For more information about Dimension Systems; search the CATIA online documention for "Modifying a Dimension System" It includes a picture and better explanation of the Dimension System Selection Mode tool