If you leave the UK headed southeast and keep a straight line, eventually you'll wind up back where you started (coming into the UK from the northeast), because the Earth is spherical. If you went due south, then eventually you'd pass through Antarctica and come out the other side heading north. But if your trajectory doesn't take you through the south pole, then you'll still come out headed north instead of south but at an angle. If you follow the red line after where it stops, it would go through Asia and get to the Arctic and then curve back south and that's how you'd wind up coming into the UK from the northeast. It looks like it turns but that's only because of how things change when you project a 3d sphere onto a 2d map.