Hi Diego, so usually it's good to apply fillets at the end like you were trying but in this kind of a case where it's going to be difficult to fillet because of what I described above you could fillet the end rectangle bottom corners first and then generate a surface from that. That will make the area that's difficult to fillet later on to be already handled with the loft blending between shapes.

That looks like this:

Curve setup, rectangle and half ellipse built off of a centerline:


Fillet bottom corners of rectangle, I used radius of 0.08:


Loft bottom rectangle with fillet (joined as one curve) with ellipse:


Select end curves and use Construct > Planar to make end caps:


Join surfaces together, select and use Construct > Planar to fill in top:


Now fillet using a little smaller radius than on the rectangle (I used radius 0.05), so there is space for the fillet to fit in this area:


Result:


Hope this helps!

- Michael