They should align with the outline of your connections. If you select a connector and zoom into the outline, you'll see the Height and Width dimensions called out. If they're readable, relative to the rest of the family, then the they are in the right orientation.
In your family it was visually obvious that the connectors were not aligned with the physical geometry of the openings, when you added a vertical duct the program tried to rotate the duct on its way up from the connector, but that failed for some reason (not sure why). If you want more clarity, feel free to log this issue with our Subscription Support team, they should be able to get a good answer from our Product Team if they can't figure it out.
HTH,
Kyle B
Revit MEP Product Manager
Kyle Bernhardt
Director
Building Design Strategy
Autodesk, Inc.