When in Plan mode of a board, you can easily create a new issue using the + Create issue link.

If you use that link, type the issue summary and then hit the Enter button, the issue will automatically be created in the respective sprint or backlog chosen. This is good but you will not be able to configure other fields. To edit other fields, you will have to click the ... button on the right (beside the Cancel button).

However, if you use the ... button, the Create new issue screen will pop up. In this screen, the sprint field will not be populated with any value. When created, the issue will enter the backlog.

It would be better if the field in the screen is automatically populated with the sprint which the + Create issue sprint is used.