Welcome to SolidWorks forums Gabriel.
I can't open up the files (due to no SW installed on my machine) but why can't you model the cone directly into sheet metal using Lofted Bends
You might want to look at this also: Creating Sheet Metal Parts with Conical Faces
You might also find this post helpful for your future reference
Can you do a pack and go on the assembly, as the sub component names don't match?