You have to assign a thickness to all surface bodies in Mechanical. You can put 1mm for all surface bodies. You are doing the composite modeling in ACP and so the real thickness will come from the composite layup in ACP.
Note, that you there is no need to import the model into DesignModeler because all the geometry work can be done in SpaceClaim. Make sure the geometry is good in SpaceClaim (no small edges, split edges, etc.). Use the "Repair" and "Prepare" tabs in SpaceClaim: