Altium error: "Could not find closed shape" when creating region from primitives
This confirmation message appears when the shape has ambiguities. E.g. it happens if an arc meets a line and there is an additional round element overlaying the end of the line.
So try to select the arc-line joint with the mouse by spanning up a small area surrounding that joint. Here is an example:

You need to remove that additional element in order to get rid of the confirmation message.