Quick example to reproduce issue:
Create custom object Address__c with lookup to Account. Add Address__c as a related list to Account standard layout.
Go to Address__c page layout, click edit, click Custom Console Components, go to sub tab components, add Left Sidebar as a visual force page.
Open Service Cloud Console, select Accounts, open account, scroll down to Address related list, click "New Address", new Address standard page is opened in subtab. Verify that Address page has a left sidebar.
Override Address__c "New" standard page with custom visual force page - AddressNew.page
Go to Console (please remember to switch to setup or other app before you will continue work with console, to reset it after previous changes), open Account, scroll down to Address related list, click "New Address".
Address custom page is opened in new sub tab without sidebar.
My question is, why custom console components didn't show up when "New" standard page is overridden by custom VF page?