Looks like its selected already. Notice the light grey check.
Its grey out so you can't de-select.
To build on that, a thin extrusion cannot be unselected when you have an open profile. For example, if you sketch one straight line and then try to make a solid extrusion from that, the only way that can happen is if the extrusion feature adds thickness so it selects the thin feature for you.
Thanks, I did realize that even though it was greyed, it was generating my extrusion. It just didn't happen the way I expected. (I had preview turned off, which made me think nothing was working).
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