Why are my wavy lines reverting to straight lines when filled?

I created these wavy lines and want to fill in the segments using the shape builder tool. To create the wavy lines, I made a straight line > Effect > Distort and Transform > Zig Zag. I then made an Art Brush using that wavy line, thus allowing me to apply it to an elipse. 

When I try to use the Shape Builder Tool to fill in the spaces with color, it fills in the spaces but straightens the lines out and creates these really bizarre line paths. I have no idea why.