The basic answer is that you usually need to have the same number of control points in each sketch when doing a loft. When you use a circle, this is usually not a rule you need to follow, but it is in this case. I think you could solve the problem in other ways like using guide curves, or even a center-line, but these two methods should work as well. Give them a try.
My SolidWorks models are 2016, so you won't be able to open them. The Step files should work.
Option one is sort of "cheating", but the goal is to convert your sketch with four points into a sketch with just a single point... How to do that? Use the Fit Spline command.
You'll loose the sharp 90° corners on the sketch, but those are unrealistic anyway if this is an intake or exhaust manifold
Option 2 is usually the better option. It is adding additional segments to a sketch. In this case you'll need to divide your circle into four arcs. You could re-sketch it with tangent arcs, but that is usually a nightmare. Instead, use the Split Point tool. NOT the Point tool. The sketch really has to be divided into segments, not just have sketch points added to it.