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I asked this because I tried to do it and I haven't found any problems or any kind of warning from Catia.
It seems I can't upload any more pictures but I have one with two rectangles drawn in two different sketches each. It's all green. The only "error" I got was from sketch analysis tool that doesn't recognize the dimensions of the bigger rectangle (offset unknown). But it doesn't make any mention to the constraints between the two sketches.
I have not a lot of experience, but I usually constraint a sketch n.for example 10 in the tree to one or more sketches numbered <10. If instead I want to constraint sketch n.5 to sketch n.10, I move sketch 5 after 10, or, if not possible, I copy it on another sketch after 10 and then make the constraints. Hope this is what you were looking for.