The issue is that the associated objects of your PMI must either be faces or edges of the feature.
Looking at your DEPTH, it is referencing two points. You must change the associated objects to edges instead.
The real problem however is that your top chamfer (which is modeled using an edge chamfer) is represented as a Bspline surface and not as a cone. This is why the OOTB feature recognition doesn't find it. Please realize that you can only machine this "chamfer" using a 3-axis milling operation. You can't countersink or chamfer mill this specific geometry. To get a real conical surface, you need to subtract a cone and not use an edge chamfer in this very specific situation.