Hi Mark
There are certain functionalities in segment builder which means they can't be used in Data Warehouse. For example any segment that use the exclude option or a sequential segment can't be used in data warehouse.
To check to see if a segment can be used in data warehouse open up the segment in segment builder. Then in the top right hand side of the screen under the visitor, visit, page view numbers is Product Compatibility. If you see data warehouse listed here then it can be used.

Hope this helps
Joe