Look at the orientation of the faces that make up the "cylinders" relative the camera. When I've seen this sort of thing before, the orientation of those edges is such that they aren't on the profile or the geometry. The edges are being hidden due to the edge on view of the neighboring face. You might increase the width or Profile Edges to 2 or 3 and see if that helps. I've always ended up fixing the model though.

this really opened up a can of worms with the follow me tool and i don't think you can use it at all for making this repeatable segment..
not only does it not make the end profiles correctly, it twists the shape as is extrudes making it impossible for it to match up cleanly with another section..

the easiest way i think this is possible is using 1001bit's extrude tool.. you'll end up with twice as many faces due to the triangulation that needs to occur instead of the quads created by follow-me but at least the shape ends up correct.

helix.skp

click pic for larger.