I would use a Multi-Section Surface for this, but a Blend surface should work also (and it's probably easier).
Go back and double-click on the blend feature to edit it, and check that all the red arrows are pointing correctly. I would also use continuity on both curves. Try Tangent continuity first, and then try Curvature continuity - and use the one that looks best to you. If you use the continuity option, you don't need the fillets - so delete them.