Currently that is a limitation in the software, however there is an enhancment request in the system SPR # 1068921 you can vote for it to help move it up the priority ladder www.goengineer.com/blog/how-to-submit-solidworks-enhancement-request
Currently it is not possible to apply a tab and slot feature to a curved sheet metal part. You might be able to use the unfold feature to flatten your curved sheet metal part apply the tab and slot, then use the fold feature to fold you model back into your curved sheet metal part.
Hello Lei, That menu should be there by default if it is not there you may need to reset your menu customization to bring the default menus back. You can add these commands to other menus using the customization tools www.goengineer.com/blog/customize-solidworks-user-interface If you have difficulty getting the menu customization to work reach out to your Value added Reseller and they should be able to help you with the process.
There are a number of ways to approach adding a sheet metal part. 1. Create a sheet metal part as another body inside this component 2. Use the insert>Part command to insert an existing sheet metal part into this part 3. add the weldment to an assembly where you can add sheet metal and other components.
We do have a series of videos on mold tools on our channel here is the link for the first video ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-rn86kptKgj0.html