I just now responded to you through in-app feedback. But just in case you look here first....
None of Adobe's tools use the same rendering model, each tool has its own brush format and brush features, so not every brush works in every application.
You can't use an Illustrator brush in Photoshop or in Sketch, or a Sketch brush in Photoshop or Illustrator. Photoshop's rendering model just can't handle what Sketch does, it works in a very different way. This is why when you create a brush in Brush, you have to select what tool you are going to target. If you're ultimate goal is to use the brushes in Ps rather than in Sketch, then you'll need to limit yourself to the Ps targeted brushes when you get to the Style section (look for the Ps icon on top left of the section, after the Photoshop Sketch brushes).
When you save a brush, you're taken to a screen (where it can be edited/nameed). It's also where you can see which brush work with each application. The top three are for Photoshop Sketch. If you scroll down you'll see the brushes for PS and Ai. When you save, save for the app in which you'll use it. Let me know if that clears things up for you.
Try this with one of your brushes:
Go into your Library and choose a brush
Tap the edit icon (square with a pen); that will open a visual list of brushes
If you want to use a brush in Sketch, choose one of those brushes (tap the circle to check it), name it, and Save. It will save to your library as a Sketch Brush and as soon as it syncs you should be able to open it in Sketch. Once in Sketch, long-press on the fifth brush in the toolbar and your Library of brushes should be there. The same process works for brushes for Photoshop and Illustrator CC.
Let me know if you're still having trouble.
I followed the instructions now works very well
Great. Happy to hear it Chris.