This is a very complex assembly and you are trying to extrude a profile, to an object, you have not indicated in "the Active Component". The Screencast will show the process of determining the component and making it active. You always should activate the component before any sketching or feature creation so these will appear under the correct component. You will notice your sketch in in the top level for this feature. Anyway, this will solve your issue.
By the way, you need to add some assembly constraints or rigid groups or you are going to have a mess on your hands. The slightest touch and component move all over the place.
John Hackney, Retired
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