Hi artisanicview, that's how Extrude with "SetPath" is supposed to work - it generates a particular kind of NURBS surface called a "sum surface" which has the special property that the generated surface exactly inherits the control point structure of both the profile curve and the path curve.

As you can see in your example, it does not do any rotation of the profile curve, the profile curve stays in its initial orientation throughout the generated surface.

Also check the help file topic for Extrude with covers this aspect of the "Set Path" option:
http://moi3d.com/3.0/docs/moi_command_reference7.htm#extrude

Like Karsten writes above the command you want instead is Sweep - it generates the surface through a much different mechanism by moving and rotating the profile along the path - unlike extrude it does rotate the profile and that's what you will usually want for generating a tubular type shape.

The same thing applies to Rhino as well, you would want to use the Sweep1 command in Rhino to do that, not Extrude.

- Michael