How does Lofted Cut work
There might be something wrong with the profiles. They might be open instead of closed profiles, in which case I can imagine the cut feature not to work.
When selecting profiles it usually gives a little pop-up menu right at your mouse pointer. It comes with the options to select the whole closed contour, an open contour, an area, and an OK and cancel. If you forget to click OK, the profiles are actually not selected, athgough they may be lue (in SW 2010, at least).
Again, please rephrase or expand your question. Give a nice screenshot of the problem at hand and even a vague description of the error message can be or great help (if it gives any messages).