Photoshop’s panorama stitcher relies on matching visible features between overlapping frames—things like edges, corners, texture, and distinct shapes. In your sequence, the middle images likely have enough matchable detail, but the first and last frames appear to have too little useful detail in the overlap areas.

Typical problems here are:

• large areas of featureless sky or smooth water
• horizon/ocean scenes that look too similar from frame to frame
• overlap where the only unique features are near the edge or missing in adjacent shots
• first/last frames having a noticeably different horizon placement than neighboring images

So you probably didn’t do anything “wrong”; it’s more that this subject is hard for automatic stitching.

What you can do:

• try adding the edge frames manually after Photoshop stitches the center
• use a more specialized panorama tool such as Hugin, which offers stronger stitching and manual correction options
• when shooting future panoramas, include more overlap and more distinct detail in each overlap area if possible

With scenes that are mostly sky and water, auto-stitching can simply fail even when the images look reasonable to you.