Welcome to the forum. You shouldn't need to select the sketch segments. Instead click inside the area you want to extrude.
Please respond back and let me know if this works for you.
Like previously mentioned, select the region to use for the feature. If this doesn't work, as sometimes is the case when using fonts that SW does not like (especially additional fonts you may downloaw and install onto your system), you may need to create a new sketch using SW sketch entities matching or tracing the font line as closely as possible to create that feature.