If you want to work with Swept command, then my advise to you is to use Arcs instead of Circles.
Arc has start and end point, where circle doesn't have any. So, when aligning arcs, there will be no problem for NX, because NX will align those start points with no problem.
Well, if you use circles and Align by Points, it can work. But it is quite hard to define the correct alignment points.
So, if you check my examples, you will see one with Swept command. There are 3 new sketches; all circles are defined with 2 arcs. There was no problem in creating such swept body.
And if you want to complicate a little bit, you can write down the equation for the change of the radii along the curve. Then, when you have defined such equation, you can use Insert->MeshSurface->Sections->SectionCircle command.
If you check my other part, you will see the use of this command. In Tools->Expressions, you can see my equations:
length...this is associative measurement of your guide curve
t........this is just a parameter for NX equations (law curves, etc.). It will go from 0 to 1
x........additional variable for my ft function
ft.......the lenght of the curve, where you have a change of radii from 1.25in to 0.75in is 6in. So, if x is equal or less then 6in, then the radius is changing according to this equation:1.25-0.5/6*length*t. And, if radius is greater than 6in, the radius will be 0.75in
Then, when selecting SectionCircle command, you have to select your guide curve first. The spine curve is the same one. In section Control, select ByEquation and use the t and ft parameters.
That way, you will get nice transition from one circle to another with creating only the guide curve and no section curve.
Hope, that those two examples will help.