[jleslie]

ok bringing it down to just one conic section, and the cylinder.

1) I select the conic section as an object, the cylinder is not turned green.
2) I hold the shift key, right click down and hold on the mouse, box the cylinder, let go of the mouse, and now both shapes are turned green.
3) I click on Object-->Boolean-->Knife and Cut Away I get the error message:

"Knife: 2nd object has open edges..."

see attached.