Extrusion and loft issue

I have created a polyline using curve tool. When I apply loft, it doesn’t select the entire stretch, but in splits. Is there any way to select the entire length

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Zaha.3dm (10.9 MB)

How to loft this surface, there is some issue with selection. I watched a tutorial, tat guy can select the entire length of the curve. In my case it breaks.

The file you posted doesn’t have those curves - but a bunch of other stuff that is not relevant for this question.
When you start the loft command you could start SelChain to select individual edges of those surfaces.