Basically my questions is: what is this orange bar attached to the playing cursor and how can I remove it to make the cursor stop at the marker when I'm playing selection. Many thanks!
The orange bar is the frame indicator. In the screenshot, the playhead is displaying the last frame of your in/out range.
If the playhead stopped one frame further, as you suggest, it would be showing the next frame AFTER your in/out range (and could be confusing, although obviously this method is too!).
The orange bar is an out point, meaning "if you are playing or rendering video, anything that sequentially moves through frames, stop now."
You can clear the out point by clicking RMB (right mouse button) in the timeline area just above the horizontal red line and choosing the option "Clear Out Point" (or "Clear out").
It is frame indicator.
Your timeline is really zoomed in. So you see every frame. Your out point is standing in one place, and that mean, that you want video-editor to play till that point in video. To show you that point in the video video-editor shall show you previous frame. If it will show you next frame, that will be after your out point, since next frame will start in that point and last for about 1/30 of a second (depends on your framerate)