I've had this problem before trying to run a gasket around a curved groove and lip. The end faces don't want to line up perfectly so the part has difficulty making a solid. Problem is the sweep alignment when it comes full cirlce, the faces don't match.
What I ended up doing was sweeping half of it, then mirroring. Think I swept it around a little more than half way and used the mid plane to trim it back. Then the mirror worked. Of course you'll have to uncheck "Merge" to do this and then use "Combine" to boolean/add it back to the main body.
Also, you may try a loft with guide curves instead. You may have to extract a second sketch on top of the other one to end the loft or perhaps you can use "Contour Select" to select the one sketch twice.
Jason
UG NX2.02.2 on Win2000 SP3
SolidWorks 2005 SP5.0 on WinXP SP2
SolidWorks 2006 SP1.0 on WinXP SP2