create shapes from vector works on closed and open paths but it has to have a content to use this command (either stroke or fill).
if you create a path and not apply any stroke or fill it will give you the error you got.
if you import any other stroke than "basic" (in brush definition box) it will import as a closed path.
if you want it as an open path the way you created it you could change the path temporarily to "basic"
or alternatively you could just cut and paste the path (with no stroke applied) Â to a shape layers path and re-position it accordingly.
check and see if that works for you.