Apparently, you’ve encountered this issue where Extrude works for geometries not valid for this algorithm (only the ones that can be simply extruded from one side in one direction without changes along the way are applicable): Why does the holes closes in "FE MESH"?
It should be fixed in the next release.
If you need hexahedral elements for the solid part and it’s thin-walled, you can try Shell Gmsh + Thicken Shell Mesh. However, if it’s not thin-walled/hollow, you will likely have to split it into subvolumes with 5/6 faces (having 3/4 edges each) and use Transfinite algorithm if you really need a hex mesh and there are holes on the side. Or split it into parts that can be extruded separately and then connected with tie constraints.