If you want to create a solid feature you need to check the Thin Feature and then specify a thickness. If you want a surface, you need the loft under the surface commands.
Thanks Mark that is the problem coming from Rhino in which the LOFT command can be used to create Solids or Shells missed that difference in Solidworks.
High Alex,
Are you mistakenly using the insert>Loft command vs. the insert>surface>Loft command?