It’s important to understand how follow me works, the profile will begin and end perpendicular to the path.
But an arc doesn’t begin and end perpendicular to its ends, this causes the issue you are fighting with. It is often easiest to just make a sphere, turn on hidden geometry and delete the parts you don’t need.
But here is a little demo showing how by rotating a circle by half a segment you can create an arc that will do the job for you.
That is the difference between SketchUp FollowMe geometry and “real” geometry. The FollowMe tool works in relation to the segments of the arch or other path. In Euclidean geometry a radius of a circle is at 90° to the circumference, but in SketchUp operations are carried out on the “placeholder” segmented geometry.