With lofting some care is needed, certainly when the lofted object has an hole.

Different results will show with different option, and with the example, the order the lofts are selected.

As with example, a "Straight" loft is needed, then the lofts need to be selected in correct order for construction:-

Select loft with "Straight":-



As you can see, the order of selection is how the surfaces are to be made, from 1 -> 2 -> 3 etc, (you could of course go in the other direction)



when done, then the loft should be correct.