Adam,
The problem you are experiencing has to do with the approximate nature of projected curve - it is a curve projected on a surface lying on that surface at a number of points but does not exactly bisect the surface, when it comes to merging with the other solid, that tolerance/ intolerance gets in the way of the Boolean. Fortunately there is a work around, and that is to work with implicit topology or edges of the model.
Instead of projecting the curve onto the surface using the Insert>Curve>Split and split the face with the sketch. Now try your Insert>Boss>loft and it should work.
Second, you could Insert>Surface>Loft and do a Fill surface on the edge of the end cap that is at the cylinder and then do a planar surface face on the Loft start profile sketch, knit all three together (using form solid command) then combine with cylinder.
I'm not quite sure about my explanation so I'm going to submit your issue because this should work (from a user's standpoint)