Hi Don,
Can you confirm that you have installed ArcGIS Pro version 2.0 or later such as 2.0.1?
The below screenshot shows the Interactive Feature Input in action.
1. Run Extract Data tool
2. Click feature dropdown button on the Area of Interest parameter and choose Polygon.
3. A new layer will appear in your Table of Contents pane called "Extract Area of Interest" and along with the feature drawing tool. You can now click on the map to digitise your polygon.
Thanks,
Gavin