Thanks, @fritter63.
I can answer some of your questions. I'll start with the one I can't answer: I don't know, honestly, if there is any single place where all of the colors and symbols are documented. Such a thing would be useful, I agree. Maybe others here can point to where this may be documented.
Now, on to your specific loft issues. I see two problems with your design. One is related to the issue that I also ran into. The profile in the HeelEnd sketch has those two points that are very close together. And this plays lots of havoc with the loft, because the rail curve is not hitting the true corner of the profile. Here is a very zoomed-in view of that area in the latest model you shared:

You can also see this if you do a Measure and select the workplane at the top and the side face of the neck:

You can see that they are 0.023mm apart. That plane is related to that vertical line in HeelEnd.
For that one, I had to edit HeelEnd and force those two points to be coincident.
The second problem was the one the command was telling you about: Your rail is not tangent (G1) continuous. That one was easier to fix. Just edit the HeelSpline sketch, and add a tangent constraint.
With those two edits, I was able to create the loft. However, the resulting geometry is probably not ideal. You may need to make some tweaks to profile curves, rail curves, etc to get the desired geometry. You can also edit the loft and change the "point mapping" (each point on a profile must be mapped to a point on the next profile). This shows up as lines in the preview that can be dragged.
Here is another screencast showing how I edited your design to get it to work:
"closed" in Loft is used if you want to create a loft that closes in on itself. For instance, if you have these 4 circular profiles:

And you create a loft, and select all 4, you get this:

If you check the "closed" option, it creates a closed loft:

Next, Chaining during rail selection. If you turn off chaining, then you should be able to select curves piecewise, and If they are connected, Fusion will recognize them as the same chain, and string them together.
Red backgrounds in the data panel. This is a bug, that there is a fix for, but hasn't made it to a release yet.
"picky" UI. I understand the frustration. Loft is a complex operation. The underlying math is complex as well, and dictates many of the requirements that show themselves in the UI (for instance, the G1 tangent requirement, the requirement that the rails must exactly intersect the profiles, etc). You could argue that the software is bad, and certainly it could be improved (what software could not use some improvement?). However, to be frank, it's not quite as easy as it may seem. I suspect that you will find that any CAD package that supports Loft will have many of the same limitations.
Jeff
Jeff Strater
Engineering Director