Faulty Parallelism3: to 'while' or not to 'while'

Solution 1:

My main problem is that what follows the comma seems to be a misplaced modifier.

Although I believe they is referring to complicated problems, the closest noun to the pronoun is creative solutions. This causes some confusion.

If they refers to complicated problems, then I would reverse the sentence structure:

Be they encountered in a mathematics class or while helping a friend, I have always liked thinking through complicated problems in order to find creative solutions to them.

Or you can leave the structure as it is but change the pronoun:

I have always liked thinking through complicated problems to find creative solutions, be it in a mathematics class or while helping a friend.

Now, the pronoun is referring to the act of thinking (the only thing in the singular) rather than to either complicated problems or creative solutions.

In the unlikely event (to my mind) that they is actually referring to creative solutions, then I would make the following change:

I have always liked thinking through complicated problems to find creative solutions, be those solutions found in a mathematics class or while helping a friend.

Of course, the specific wording to all of these can be easily changed. I am just pointing out the main ways of clarifying what's meant.