Some will pull you to orbit if you dont finish and back out. Others will pull you to the flag. Its really inconsistent. Best bet is to complete it, and let the timer run out to pull back to the flag. It takes longer, but it has worked every time for me. The other option is to only do lost sectors which have fast travel locations in the zone that they are in, so you can just fast travel to the zone after completing them. I dont remember this issue last season at all, and I ran a bunch. I think it started with MoT where it would pull to orbit instead of being nested in the destination when you exited the sector without completing it. I would often reset if I died to get flawless runs, and dont remember actually going to orbit at all.

Pretty sure you did that.

Which lost sector, and did you open the chest? Some of them have weird and inconsistent behaviour, but I've always been dropped back at the flag if I've completed them and opened the chest.

Let the timer run out, it should drop you at the flag.