See this part, I want coverter it a sheet metal, but this is not work, how I do this?
You are going to have to do this as a lofted bend. Use your geom, make a couple of 3d sketches, then use the sm loft tool. Either bent or formed in this case.
Edit:... I wanted to add that the reason you cannot "convert to sheet metal is the result of your part is not round.
why not create it as sheetmetal?
It looks like you need to collect the other bends, you are only selecting the fixed face.
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