It worked for me this way as well, until two things happened almost at once:
1) I got new computer with Win7 instead of XP and installed PGP 10.2.1MP5 on it
2) PGP got automagically upgraded to Symantec Encryption Desktop 10.3.2.
I believe the last one changed the behavior, but I'm not 100% sure.
When I right-click file and choose "Sijgn as" it works as you described (which is good as when I choose Sign as then most probably I need a signing key ;) ), but when I right-click a file and choose "Secure with key", still no signing key is selected and I have to select one manually.
Seems I don't have PGP Messaging you write about or I can't find it, so haven't checked if setting this up would help....