I’d model that part separately with a Loft or Sweep (note that the upper edge of your “door pillar”, the last stone, might already be angled at the top, depending on the reference). You could also try to do an Extrude Along Spline within Editable Poly.
Your first image shouldn’t happen, unless you rotated the wrong axis or your object as a whole has been scaled non-uniformly. (Check the scale values and/or do a reset X-Form). But maybe that’s what you mean with “exaggerated”.
The triangulation showing isn’t necessarily wrong and would probably even show if you rotated each edge manually and tried to connect them. In fact the width (or height) of some segments would have to change to avoid that at certain angles (maybe that’s what you were trying to do, keeping the orthogonal faces and connect them with changed angled ones*) or the bend would have to be evened out over the length of the arch. Since the angles are slight, you could simply cheat and assign a common Smoothing Group to the faces you want to look planar.
*You could do it that way and rotate/adjust a few segments manually, then add some new loops with Flow Connect, if necessary.