What's wrong with this sweep?

As Inspire said in a comment, only mistake is that you use Sweep. SolidWorks is a powerful software and it offers many different commands, features etc. to overcome every problem, but it is not a magical software, you cant make everything using every feature that you wish. Commands have their limits and purposes. You should learn which feature is for what. More features you know, more you can combine them to get what you want. If you are persistent to make this Sweep, I've found out that you can actually achieve that using SelectionManager (see tutorial below), but it works in this particular situation. Obviously won't work in every situation. Previously, you should become familiar with SelectionManager, if you already didn't. Also, I uploaded the same model that you posted, just with finished Sweep.

  1. Step 1:

    In Guide Curves space right click and select SelectionManager

  2. Step 2:

    Choose select group in SelectionManager

  3. Step 3:

    Choose one side of guide curve and click green check mark

  4. Step 4:

    Repeat selecting, but this time select other side of a guide curve

  5. Step 5:

    Add another sketch with guide curve

  6. Step 6:

    Comparison between Boundary and Sweep of the same model

  7. Step 7:

    Little tip: you should make those splines go continuously (in this example make it vertical) because if not, that can cause problems in future editing.