The boundary of a Curtain Wall may consist of only straight segments so you will not be able to put a curved segment there with Curtain Walls.
One solution would be to create a scheme for the curtain wall that has a frame every 100 or 200 millimeter or something. Then the segmentation will be high enough to approximate your curve.
Of course in that case you will have to delete a lot of frames that get generated but that is not a hard task considering that you can select rows and columns of frames and delete them in one step.
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