I'm trying to use Knife Project to cut a shape in a cylinder. For now I'm testing on the cube. I've used this answer as a guide. I added the mesh cube, then added a curve circle. I grabbed the circle and moved it up the Z axis until it was above the cube, then I scaled it so it was smaller than the cube. It's now above the cube. I hit numpad-7 to set the view. Then I select the circle, and use shift to also select the cube. I hit tab to go into the Edit Mode and then go to Mesh->Knife Project. I've tried variations on this, but it NEVER cuts through even one face of the cube. I've tilted it to a different angle for this screenshot, but it shows what I'm getting. It outlines the shape of the circle I'm using as a knife tool, but it never cuts it out. I can press 'G' and then move the circles it makes around, or extrude them, but it never cuts through the cube, like in the answer I've linked to. I've tried using the knife tool, but that doesn't work. (Also, both the knife tool and Knife Project are only in Edit Mode, and the answer does not specify to change to the Edit Mode.) I've tried selecting the cube, going to Edit Mode and selecting the circle with ctrl-lmb. I've done the same with selecting the circle first, then selecting the cube the same way.
I've also tried, after using Knife Project and getting the circles on the cube faces to use the delete command, but none of the options delete just the circles from the cube faces. (I do have Cut Through checked on the panel that comes up for Knife Project.)
What do I need to do to make the Knife Project cut through the faces?
(Note: I've also looked over this question and the one answer to it, but I haven't found anything to tell me what I'm doing wrong or why I can't cut through the faces.)