@Anonymous - I've spent a couple of hours looking at this. This is a bug in Fusion or its modeling kernel. It is what we call a "point mapping" problem. You have 3 profiles here, that have exactly the same number of curves and points, yet Fusion incorrectly maps the points from one profile to the next. Weirdly, this happens only on one side of the loft, not the other.
You can interactively untangle the point mapping by dragging the white points around. In this case, there are some extraneous points added that I tried to get rid of.

I tried for a long time to untangle this loft, and failed.
My next attempt was to try to take advantage of the symmetry here - just model 1/2 of the form, and mirror to get the other half. So, I added midpoint lines to your sketches:

Then, I tried to loft the "good" half. The preview looked great:

but, on OK, it twisted:

The "bad" half, however, is OK, when done by itself:

So, that is one approach - loft half and mirror.
The only other approach I was able to make work is to add lots of rail curves. Usually, just one rail is enough to poke loft in the right direction, but in this case, it would not untangle itself until I added 5 of them:

This seems to produce a desirable result:

That's the best I have for now. We will investigate this bug further. Thanks for reporting it.
Jeff Strater
Engineering Director