Create a problem with product reference

Maybe because ProjeQtOr is not a Product Management Tool, but a Project Management Tool...

Yes, configuration items are deditated to most commonly used items (tickets, activities, requirements)
It is not planned to extend configuration management to all items...
But this can be done with Screen Customization plugin.
In your case, you would just have to upgrate screen "Issue" and create new field named "idProduct". This would automatically reference products list.