Thanks to all those who responded. BOTTOM LINE: You can ONLY do a boss loft on a solid surface or sketch, not on an extruded ring.
Gee, that would seem like a nice feature to have. I wonder if you can do that in Solidworks?
Also, had the error message been less cryptic, I would have figured it our myself. I could have done a revolve, but I though the boss loft on the two rings would be easier. I guess not.