What is my answer to this problem? Simply don't do it in Revit - do it in AutoCAD. For some people, that solution may not be acceptable, and that's ok. I also realise that the AutoCAD haters will probably victimise me for it...oh well, do what works I say :-)
Here is how I did it:
I make an ellipse in an AutoCAD file after setting the PELLIPSE variable to 1. This means that AutoCAD creates the ellipse as a polyline, which means it contains arcs. I then Import / Link this into Revit and simply 'pick' the arc segments to make a nice smooth elliptical form.
Here is a video:
My method is probably the easiest of the lot, but it is also probably the least 'Revit-ee' and the least parametric...