Your bend radius is way to tight. Visualize how that polygon sweeps around that fillet. Your inside corners will self intersect. You could sweep half of the polygon and model in the intersecting side using other commands. make your bend radius larger will solve this issue.
@sdetersis spot on - the reason that is happening is because the radius in the guide (bend) is too small and the hex surfaces on the inside of the bend (closest to the radius center) are collapsing on one another as you go around the radius. Increase the radius until the faces stop collapsing on themselves......OR
You can sort of simplify this by inscribing a circle around the hex points (the diameter touches the hex points) - make the bend radius equal to the radius of the circle - this will be the MINIMUM radius needed to successfully complete what you're doing. I will warn you, the inside bend (the side where you're seeing the faces collapse on each other) will be a sharp corner - you will need to increase the guide radius to have anything other than a sharp corner in this area.
We model lots of exhaust tubing and tube-like shapes and we usually have to at the very least a bend radius that is equal to the diameter of the tube (just for modeling purposes) - so if you use the example above, the diameter of the hex is 50 (2 X 25), so a bend radius of 50 would be fine - result shown below.
Just depends on what your end result needs to be. I attached a really quick, different approach. Done in NX11
As previously pointed out, the self-intersection is to be expected. You're going to have to reconsider the minimum radius as @TimF suggests, or look at modeling the part using different features as @sdeters suggests. It's unfortunate that the Swept command cannot accomplish what you're attempting to do and to be honest I'm surprised it allowed the result (Sweep Along Guide raises an alert and does not allow the body to be created). I've added a part created in NX 12 which required several more features than a single sweep to produce the same result. As you know, there's probably many ways to resolve this (some more creative than others).