Arc with follow me pipe to another face leave a crescent shaped gap, How to fill gap?

Yes. That’s creating the problems you are having.

Instead, extrude the larger cylinder, offset the end for the smaller O.D. and pull that out. Then offset for the I.D.s and push in. Push the large one first and then the small one.

Or do what I told you before and draw a cross section and use Follow Me to sweep it around a circle.