I run a similar setup, and it does the same thing. It probably has to do with fluid (water) taking the path of least resistance. It seems to vary without any apparent reason. Keep in mind the whole system is kind of crude, however it more or less does what it is intended to do, which is to keep the headers from glowing red hot. I have run mine for over a decade, and it has never caused any issues beyond not looking "quite right". By your description, I am guessing that you are not flooding your exhaust system with water, and that is a good thing. Too much water into the headers can really do some damage to the engine.
