POE external Magnetics Alternative to magnetic RJ45 jack ieee803af
The first coil (from the jack point of view) in the magjack is an autotransformer needed to reject common mode noise. The coil is followed by (surprise!) a common mode choke needed to reject common mode noise too. Don't be afraid, this is a two step rejection.

What you need to be worried about in your design is that you must connect HX2260FNL by its common mode choke enabled side to the line, not to the PHY.  And if you will not use Auto-Crossover (Auto-MDI/MDI-X) feature, try to find an asymmetric transformer.

This memo by Pulse Eng. (the vendor of your transformer) explains well the purpose and operating principles of both CMC and AT.