It has been a while since I used Pro-E, however, when using the lofting command, a starting profile and finish profile are used. Intermediate profiles can also be employed. These profiles must be selected in the sequence to generate the loft. You can also use a begining and ending profile and provide a centerline (trajectory path) to direct the loft.
Now a sweep can be used with a starting profile and a trajectory path to control the solid created.