Pounce isn't worded very well, or else it's not a very rational ability, for reasons like what you described. We've been having trouble with my tiger companion for just this reason. However, we've not been able to tweak it into a form that makes sense and is still balanced. The closest we've come is this:
-Pounce: the creature can make a full attack, even if it moves this round, against any creature that is denied its Dexterity bonus.
This makes pounce useful in more situations (e.g., in the middle of a battle, if the tiger is sneaking up on one combatant) but less useful in other situations (e.g., if the opponent wins initiative). And it makes a fair amount of sense (pounce only works if an opponent hasn't had time to get her guard up).
As for your sphinx, if it wants to pounce, it should consider readjusting its initiative score during the partial round (or whatever you call it when you move your initiative up to 20). This represents the sphinx crouching down, wiggling its butt, and lashing its tail back and forth, in preparation for its spring onto its opponents. That way, it'll go first during the first round of battle.
Daniel