If you ever want curve snapping to work you have to use your middle mouse button. Otherwise its a futile attempt Because maya wont know WHICH curve to snap to.
select the point, move curseor over cyurve (dont click anything), mmb press and slide.
Snapping + maya = using middlemouse button!
Rule of thumb:
If your not using middle mouset about as much as your left mouse button then your most likely using maya wrong.