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What you are seeing is not the laser. That’s the plasma that “excites” the laser. The laser beam is invisible. It is very long wavelength infrared, about ten times as long a wavelength than the deepest red you can see. That’s why you see it attaching itself to the metal conducting ring. The invisible laser beam can’t bend like that and exits the tube.
First, before asking other questions: Are you running water through the tube to cool it?
Second, have you read the K40 Intro linked from the top of every page here? It may save your life, your home, and your laser. That page, as well as each of the brief articles it links to in the Getting Started category, are intended to be the “missing manual” for operating a K40. There is a great deal of useful information there that might help you.