I am able to publish a service to AGOL with a table and when I add it to ArcMap from the My Hosted Services section (Catalog window in ArcMap > right-click My Hosted Services > Sign In), I can see both feature class and the table. They can come from the same gdb or different ones (I tested only file gdb, not SDE, but should work fine too).
However, when I use the web site as you do (go to ArcGIS.com and sign in > My Content > open service > View in ArcGIS Desktop), I get only feature classes, not the table. It might be a limitation of the ArcGIS.com. The workaround I am aware of is to use ArcMap's My Hosted Services when you need to add a service that has a table among other pieces of data.