If you zoom way in, you'll note that the Spline doesn't quite touch the profile (See attachment). Taking the Splines one at a time, select it in the Edit mode, be sure that "Edit fit points" is enabled in the Inspector Bar, and vertex-snap each node to the appropriate vertex on the profile.
The resulting Loft still will not follow the guidelines exactly. To fix it, go to Options>Acis, enable "Expert Faceter Parameters," and set "Surface Tolerance" to 0.001. Leave the other parameters alone.