Surface to Solid...how this work?

First see if there are gaps in the surface. A quick way is to go to Insert>Boss/Base>Thicken. If it has an option that says "Create solid from the enclosed volume", then you know it's ready to go, if not, there is a gap or overlap somewhere.

To find the gap, use Tools>Check, run the check and look for "Open Surface" in the results list. If you click on that, it will show you where it is open. There are a lot of techniques to close open surfaces, but the easiest is to RMB on an open edge and select "Select open loop", then go to Insert>Surface>Fill, and hit the Merge switch at the bottom, and if this will close off the surface, you can also hit the "Try to form solid"

This is how it works in SolidWorks.
Can't be much different in SolidEdge.

Great tip Robert. very smooth and definitely easy to remember. Sometimes, I recheck to see if the sketch(es) bounding the surface can be improved upon. for example can you have less spline points, defining their handle orientation, checking inflection points etc.. This can also improve your surfaces and they might merge. Also maybe try to increase the gap tolerance a little bit to cover a wider range. Good luck with it all mate. :-)