I see, you really are using only two splines in a Sweep (without using a Rail Spline) the functionality is
Sweep
– spline (spline that gets swept)
– spline (along this spline)
Because your splines are not at the origin point it looks offset from the ‘along this’ spline. What you want (I think) is not a Sweep but a Loft. If you put two splines in a Loft it will make geometry to join the two.