Thanks for making this post. The behavior you describe and show in your image is the correct behavior.
When you play a composition, the blue playhead and line remain in place while the red line shows the progress of the preview. Depending on whether "Move time to preview time" is enabled in the Preview panel, the blue line may remain in place after playback (so you can replay the same segment over and over) or move to the time at which you stopped playback.
Let me know if this makes sense, or if you experienced something different in a previous version.
That's understandable, @Gaël Illustrations. Would you be able to share a screen recording of the blue CTI moving during playback in a previous version?