In the second line of your solution, you shouldn't have two terms $T(2^m)$. Here's a correct derivation:
$$\begin{align}
T(n) &= \sqrt{n}\ T(\sqrt{n}) + n & \text{so, dividing by $n$ we get}\\
\frac{T(n)}{n} &= \frac{T(\sqrt{n})}{\sqrt{n}} + 1 &\text{and letting $n = 2^m$ we have}\\
\frac{T(2^m)}{2^m} &= \frac{T(2^{m/2})}{2^{m/2}} + 1
\end{align}$$
Now let
$$\begin{align}
S(m) &= \frac{T(2^m)}{2^m} & \text{so our original recurrence becomes}\\
S(m) &= S(m/2)+1
\end{align}$$
which is a well-known recurrence with solution
$$
S(m)=\Theta(\lg m)
$$
Returning to $T()$ we then have, with $n=2^m$ (and $m=\lg n$),
$$
\frac{T(n)}{n} = \Theta(\lg\,\lg n)
$$
So $T(n) =\Theta(n\,\lg\,\lg n)$.
This has been asked before: Solving a recurrence relation with √n as parameter, though this particular substitution solution wasn't included among the answers