If your model on the screen in wireframe display is completely purple then you could try solidifying the model then make a cut the way you were trying. If the model is purple with yellow edges then your going to have to knit up some of the surfaces to get the model to a complete purple status.
The reason for the all purple display for the surface edges means that all the surfaces in the model are knitted up and there are no holes in the geometry.
Yellow edges is how Pro/E shows you there are edges incomplete with the surrounding surface edges or holes in the geometry. To fix them simply is to redefine (edit def) the iges geometry then select heal geometry, automatic, this usually cleans up about 80% of the geometry then you would manually fix the rest.
If you don't need to solidify the model then you could create a surface trim to achieve this cut.