That is fine, you dont want debris exiting in the dirrection that you are going. IIRC mine is set to exit on the back side.
I have dealt with keys and chucks like that. In many cases the method of insuring hte key pops out when you let go is part of the problem. Also a method that works for me is to always grab the key so that you are lifting the key into the teeth of the chuck when tightening or loosening. Some times you thumb needs to be on top, some times on bottom.