Are there rules for when I can "parent" a GameObject to another? .localLocation acts weird.

I am trying to understand when and how I should parent GameObjects.

Here's some code I have that tries to create a sub object and a child object to THAT sub object. For some reason, the object appears in a totally different location when I do this. Here's the code that DOESN'T work:

void Start () {
    var go = gameObject;
    // Add the move button.
    var buttonContainer = new GameObject("moveButtonContainer", typeof(InteractionButton));
    buttonContainer.transform.parent = go.transform;
    var cube = GameObject.Find("MyCube");
    var obj = GameObject.Instantiate(cube);
    obj.transform.parent = buttonContainer.transform; // This line will change below to make this work.
    obj.transform.localPosition = new Vector3(0, 0, 0);

However, if I parent the object I created to "go" (the current game object - see the first line), then this works as expected (the object is placed correctly):

void Start () {
    var go = gameObject;
    // Add the move button.
    var buttonContainer = new GameObject("moveButtonContainer", typeof(InteractionButton));
    buttonContainer.transform.parent = go.transform;
    var cube = GameObject.Find("MyCube");
    var obj = GameObject.Instantiate(cube);
    obj.transform.parent = go.transform; // This is the line that changed
    obj.transform.localPosition = new Vector3(0, 0, 0);

Why can't I create intermediate objects and parent to them?