Unable to see the picture.
One of the sketch entity should be selected before you exit sketch.
This is an easy one...
Before you exit the sketch select the line you intend to use as the section.
The Message says it all "No Sketch Segment is Selected"....
Got it ! Thanks. But..isn't it logic that the sketch segment is the one on which the arrows appear? Namely the one I am editing!
In my view SW wants me to either click the line before closing the sketch and thus avoid the message coming up OR want me to click OK on the message! Either way they just want another mouse click for nothing ;-)