It's perfectly possible and reasonable to do
You would have to make sure that the Add Incident action is available as either a process action or optional action at the status you want in the relevant problem process. If you want to be able to add the incident whilst the problem is at closed status, it sounds like you want the Add Incident needs to be available at all the problem statusses
i phrased my question other way round, we wanted to add any closed incidents to open problem, so i believe i will need to add the "AA problem" action on closed status on incident process. Am i right?
This is what i would like to achieve "Need to be able to attach/detach cases to problem records, irrespective of incident case status."
In your incident process, you need to add the attach problem / detach problem actions to all statuses.