For one, the 3 closed curves do not lie in the same plane. If you extruded them the same distance, they may only partially intersect. You could projecttocplane from topview to get all the curves on the same plane, then extrude them together as you tried.
There are a number of ways to do this...
Method 1 - If they are on the same plane, select all 3 closed curves and extrude (capped). That would create a solid with the wing shape with two voids in the center. Simplest method, if I am reading your request correct.
Method 2 - Again, if on the same plane, select all 3 curves, PlanarSrf to create a single surface, then ExtrudeSrf the surface to get a solid as above.
Method 3 - If you need to maintain different Z locations of the curves: Extrude the outer contour (capped) whatever distance you need. Then extrude (capped) the other 2 interior curves a distance greater than the outer contour, so the resultant solids protrude from both top and bottom faces of the outer solid. Now use your BooleanDifference, selecting the large wing solid as the first set, then the 2 interior solids as the second set. Then delete the interior solids, and you have your wing solid with two voids.
Whenever I use BooleanDiff, I try to make sure that the objects I am subtracting with extend beyond the object I am subtracting from. If surfaces from the two sets are along the same plane, it tends not to actually create the 'holes' on those faces, even if the booleandiff behaves properly on the interior of the object.
Method 4-100...there are so many ways to do this in Rhino, it's a matter of finding the one that is right for you.
Hope this helps.