"The selected faces do not form a closed and continuous cam extruded from a single profile" -Error

I am currently constructing a SolidWorks model of a Clerget Rotary Engine. I am close to finishing, but I am having trouble with the cam mates for the rotary cam shaft and the cam followers. Everytime I try, I get the following message:

"The selected faces do not form a closed and continuous cam extruded from a single profile"

Any idea what this means? SolidWorks "Help" has been very unhelpfull at solving this.

I have included a cam and cam follower. Any ideas what I am doing

SolidworksAssemblies