hmm, I've got one too and that looks weird. Mine has a hose that I attach to the clear hose inside the skimmer to get it started, then once it's started, I turn the valve (which it appears you don't have) and remove the blue tube.
I get a lot of microbubbles, which is frustrating, but goes down to mildly annoying after a while. I helped reduce the bubbles by pointing my outflow at the side of the tank...