This set you in edit part mode where you can design on the Pin part in-context of the rest of the assembly.
You now get the part features available on the command manager and can add the sweep. After the sweep is done you can go back to Edit Assembly mode by clicking on this symbol in the upper right corner:
Thank you Sindre for your help,
From your screenshot it looks like you've come out of part edit mode & are in the assembly. To modify the Pin & add features within the assembly you need to right click on the pin part & select Edit Part, all the features in the tree should go blue to indicate you are in part edit mode & then your feature should be available. Or of course, you can just right click & open the part & create the feature as long as the profile & path are within the part & not in the assembly.