First off, contratz on your first "audiophile grade" headphones, AND your first planars! Hifiman has some outstanding entry level "audiophile" gear IMO.
If you are used to just IEMs and also not used to planar magnets, then yes they will sound a bit off (only insomuch as what you are used to). This is normal because orthodynamic (planar) headphones have a bit of a different sound to them. This is one of the reasons so many people love them so much (myself included).
So you ordered an adaptor to use with an IEM cable (coming from MMCX to 3.5mm)? If it were me, I would just order a cheap cable from the web. Something like
THIS. Also keep in mind (if you end up not fond of the way they sound), that 2.5vrms is not a lot for planar headphones. I only say this so that you are aware that you may not be getting the full potential sound you possibly can with this DAC. The HE400SE are easy to drive, but need more power to drive them well. But, if you are happy with the sound, then all is well.
I believe that as long as you have the "R" on your right side when putting them on your head, then that should provide the angle needed to be "wearing them properly". If you look at the pads, they are thinner in the front, and thicker in the back. This will provide a (consistant and) natural angle when wearing them.
Yes. As mentioned earlier, going from IEM to headphones IS indeed a different sound, but add the fact that they are planar will make them even different from other headphones. Headphones of this type are known as
Circumaural or AE (around ear) headphones. Keep in mind that because these are open back there will be 0 isolation from noises from without, and noises from within (people will hear what you are listening to even at lower volume levels). So, to answer your last question, yes your ears are supposed to be fully enveloped by the headphones while they are being worn.