Extruding a closed set of curves results in a sheet body being created rather than a solid body.
Solution
Extruding a non-planer section will result in a Sheet Body being created. Check to see if the curves in the section are planar. A couple of quick, simple tests are to see if you can insert a Bounded Plane within the curve section, or Project the curves to a Datum Plane and Extrude them to see if a Solid Body is created.
Notes and References
Hardware/Software Configuration
Platform: INTL64
OS: window
OS Version: 1064
Product: NX
Application: DESIGN
Version: V1847
Function: FEATURE_MODEL
Ref: 001-7192093