If I understood correctly, you have one hole in one part and added countersink through assembly hole into second part, right?
By default you won't see it in part, because it's an assembly feature and it exists on assembly level (think of it as hole drilled during assembling real components to properly fit them together). You can go into options of assembly hole (Edit Definition > Intersect) and turn off Automatic Update and then you can set display level from Top Level to Part Level and it will copy hole geometry into part. Downside is, it's not recognized as typical hole feature and there are problems with using such hole for Pin constraints, for example.
You shold be able to put both parts together into assembly and then activate second part and create coaxial hole using axis from first component. If you can't select axis from second assembly component, check assembly settings for external references - for this operation it should be set to "all" (it's config.pro option "default_ext_ref_scope").
