The path needs to be in the same context as the profile ‘group/component’.
Meaning, if you need to make the path a component you need to place the profile group/component inside the path component. So you would then open the component and select the raw geometry of the path, then right click on the profile and open for edit, then click on the profile.
Or explode the path.
I am on phone so unable to check your model.
Box is correct, of course. You need the circle for the duct in the same context as the path. So open the path component for editing, draw a circle over the existing one and then run Follow Me.
Before you do that, I think you want to fix the arc at the bottom of the vertical run. I doubt your duct is really going to run that way.
Check over your model. There are some missing faces and other things that will likely cause you problems down the road. Best to fix them before they become problematic.
Make sure you are using Layers/Tags correctly. In your model you have some geometry with the wrong Layer/Tag assignment. ALL geometry should be have Layer 0/Untagged assigned.
It’s a good idea to purge unused stuff from time to time, too.