The airfoil data from that source seems to be the issue, instead of having the curve close (X=1,Y=0) the data has X,Y coordinates of 0,+/-0.00126, this creates the small gap. You'll have to use the software to 'close the gap,' this can be done by manipulating the data file in Excel and sorting it so that the curve begins at the origin and then creates all the points on top, then creates the bottom curve and finishes on the same origin. A bit hard to explain through this but suffice it to say you want to walk the chord starting from the leading edge to the trailing edge (creating the upper camber) and then walk back to the leading edge (creating the lower camber), for reference see: http://upload.wikimedia.org/wikipedia/commons/7/74/Aerodynamic_camber.jpg
Once you cleaned up the file in Excel, you can then create a curve that closes the gap. One problem is, this airfoil data makes SW interperate the 'gap' portion, so it might not be perfect. If you need really accurate values, I'd use VisualFoil (http://www.hanleyinnovations.com/vf50.html), it gives nicer results
Another way to do it if you don't want to use Excel, take the points from the bottom (and replace the X=1 with a value of Y=0) and insert a curve for just these points and do the same for the top and then convert these entities into one sketch, this should give you a useable sketch that can be extruded.
In my experience, what you are seeing as an error is the trailing edge thickness. I would just slab it off and you are good to go. In most cases it is not possible/practical to have a super fine trailing edge on a real section on a real airplane or device. Yeah maybe on a some specialized machine with a machined wing made from a stiff and strong material you could get a way with manufacturing the part it would be very dangerous and very suseptable to damage.
After you create the curve. insert a sketch. Select the curve and convert entities. This will create a spline in the sketch that you can then close with a single line. You can then use this sketch for a loft.
I've always imported, then converted entities in a new sketch and then added geom at the leading and trailing edge that is tangent. This lets you control the leading edge radius and the shape of the trailing edge. If you use fit to spline, you can get weird things.