As you may have found out wall sweeps can only be horizontal or vertical, they can't slope.
You need to use a "Model-in-Place" family for the sweep.
Select "Model-in-Place" choose "Sweep" and then choose "Pick 3D Edges". Select the sloping wall, load or draw the profile, and you're done.
Another way to create profiles along an angle is to use a workaround to create a Roof Fascia on a Model line

Please a Model Line on the Slope Edge using a Reference Plane and when using the Roof Facia Tool pick the Model Line
Jay Colcombe
Autodesk Certified Instructor
Revit Architecture & Structure Certified Professional
AutoCAD Certified Professional
B.Sc. Hons Civil & Structural Engineering
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