I've a wrap curve that represent the CAM. Which feature I've to use to create the machined CAM ?
Attached the file.
Create the "bottom" surface of the cam by using the longer cam projected curves eg trough curves. Extend project the face to cover the whole cam. Trim the extended face with the wrapped curves and thicken the face. Else have a look to Swept volume.
swept volume can't be use for this case and have some limitation. Your other suggestion doesn't create a real CAM. Walls cam aren't radial. Please see this real groove milling.
walls of thicken feature are radial to the cylindrical surface, but in the real world are parallel to the axis tool. The demostration is that the distance from a wall and the opposite respect to the up and botton are different.