Judging by the screenshot, your curves seem to have the wrong order! Your issue is a little different from @joseph.henry’s, where the curve seams weren’t aligned properly.
When setting/importing, if you preselect a collection of geometries in the Rhino viewport and Set Multiple Curves in Grasshopper, your selection order isn’t respected. Instead, the curves are sorted by creation date and time (?), if I remember correctly. This isn’t a bug, though. It’s just how Rhino/Grasshopper deal with geometries.
Now, if you start in Grasshopper, click on Set Multiple Curves, and then select the curves in a certain order, your choice should be respected, and thus your curves should loft as expected.