Basically your Loft just has too extreme of a shift in shape from this shape here:



To this next one here:




Loft does not itself understand anything about specific features of the curves involved, it just tries to connect them together into a surface by matching them along the length traveled along each curve. With 2 curves having such suddenly different shapes like that, it's going to create some kinds of twisting and buckling in the surface that's generated from them.

So it can be better to try to only build one of those forms at a time and let them get intersected with one another rather than trying to do it all at once.

When a shape makes an abrupt transition, those are the spots where you would have 2 different surfaces coming together and meeting at a common cut edge, possibly with a fillet or blend constructed between them to make a smooth transition. A couple of demos of that general concept here:
http://moi3d.com/forum/index.php?webtag=MOI&msg=2164.2
http://moi3d.com/forum/index.php?webtag=MOI&msg=2164.4

- Michael