Hi,
When I have a doubt, I open the stp file in an assembly template because then, if there is only one par file (one entry under the asm in the pathfinder), I can just delete the asm file.
Now, to see what is in your files, you can double-click on them : by editing into it, you will see the surfaces (not solid) AND/OR you can right click on a part and choose show/hide component surfaces.
Making a solid with those surfaces automatically with those surfaces is sometimes possible with the options you are referring to but there is not only one recipe because everyfile is different (I guess checking everything will give you the best chance of creating solids automatically).
Otherwise, you can edit the part, modify/add surfaces and use 'stitch surfaces' to make a solid body with the visible enclosed enveloppe of surfaces.
HTH,
Fred