I know this feature from UG NX and I-Deas - super-helpful!
There you are able to select the boundary by clicking sketch-entities to close the loop for a solid or leave it open to create a surface-feature.
Is also helpfull when you have many sketch-entities in the sketch. Automatic boundary recognition sucks in many cases at the moment - you have to place several extra-points in the sketch or break lines an then sometimes the whole sketch.