In my assembly I replaced a screw with another which made my cross section fail. I get the following: "WARNING: highlighted loop in cross-section B may be incomplete." And the screw is red with no hatching. I open the screw part and try to put a x-section through it and I get the following: "Cross-section fails to intersect part." I verified the screw is a solid, tried .sat and .stp imports, and tried moving the x-section so it is offset from center. So what stops pro/e from cutting a cross section thru a part?
Try the accuracy setting (already mentioned). If that doesn't work, the only solutions I know of are less than ideal.
First solution: remodel the screw. Don't use the same file to recreate geometry. Start a new file entirely. Second solution: move the x-section plane off the axis of the screw by ~.005" (sometimes slightly more, sometimes slightly less)
The second one works every time. Usually the offset is small enough that the shown dimensions still appear to go to the object lines in drawing views, but if you use draft dimensions created at the drawing level, they will not be accurate.