Yep, a fresh CCScene is returned from a 'scene' class method in some of the CCLayer subclass examples. It's done this way as on it's own CCScene has no real functionality, it's only used as an abstract concept. This is I suspect why there's no option to create a CCScene from the new file dialog.
Creating a class method that returns a CCScene object inside your CCLayer subclass (with the layer added to it) just makes things more convenient and compact. However, it's perfectly fine to subclass CCScene as is mentioned in the coconutcollege tutorials then instantiate your layer from within there, the outcome is the same it's just a different way of doing it ;-)
Hope this helps.