If you pull a wire from a component you must select an artboard. If you CLICK the wire indicator it will create an internal link and you may select a state.
This seems to be broken in some cases. I have a component with multiple states. In the default state, I was able to link to other states when clicking on icons. However, in the other states, I can not link to other states. They do not show in the destination field. it only shows other artboards. Also, if I delete the interactions from the default state, I can't add them back. It's like they only appeared the first time I tried to create them. Any thoughts?
@ShakeNBakeN will you be able to share the file or some screenshot from the component arrangement? You'll have to upload the .xd file somewhere (google drive, dropbox) and drop the link here, as the forum won't allow .xd file uploads. You can send it via PM as well, if you don't want to do it publicly.