After adding a dormer, cut an opening for it through the roof.

 (Dormer).
 (Dormer). 
  Where is it?
 Opening panel
Opening panel
 (Dormer Opening)
 (Dormer Opening) 
 Opening panel
Opening panel
 (Dormer Opening)
 (Dormer Opening) 
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.
 (Finish Edit Mode).
 (Finish Edit Mode). 
  