Where is it?
Watch the status bar to be sure that you are highlighting the main roof.
The Pick Roof/Wall Edges tool is active so that you can pick the boundaries that compose the dormer opening.
Valid boundaries are highlighted. Valid boundaries are a joined roof or its bottom face, a side face of a wall, a bottom face of a floor, an edge of the roof to be cut, or a model line on the face of the roof to be cut.
In this example, side faces of walls and joined faces of the roof were selected. Note that you do not need to trim the sketch lines to have a valid boundary.
Revit makes both vertical and horizontal cuts in the roof.
Dormer opening in a 3D view