There are some Vertical Design Rules that will work with a closed linestring, however there are some that cannot compute the geometry to a closed linesting and it is all dependent on what you are trying to do (some math calcs just do not work. The help provdes some documentation on these
For example you can do a Cross Slope from a line to a closed linestring but the source line has to cover the entire range of the target line - otherwise it cannot be computed because the cross slope affects the whole of the Target Line from the whole of the source line
So this situation fails
But this one passes
However a Free slope only affects one point on the Target Line and so can work in the first scenario
So when you say it doesn't work - it actually does, but only for certain rules and certain conditions. We analyze the request and the available geometry and we don't let it do "wrong things"
Understanding all these scenarios and understanding how each rule is really working takes a bit of work but it is likely that it does work but you were asking it to do something "incorrect".
There is a list of invalid requests in the help system - I will try and post more of this here.
By breaking the line, you remove the "Closed Line" computation Issues and make some things possible of course.
Alan