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I'm not sure about Pro/E but in most cases there will be options as to how to handle the sweep profile(s). You want to ask what is the "Default" mode. Typically, the default mode is parallel to the profile "normal" which can also be described as perpendicular to the profile plane. Options can range from maintaining the profile parallel with another plane or rotating one or more axes of the profile plane to allowing a formula to derive the orientation of the profile plane as it moves along its trajectory path. This method allows you to introduce other variables that can dynamically affect the shape of the sweep.
I'll try to find out what the default mode is for Pro/E. What version are you running?