Should air be escaping from this?
Just to answer your question, no, air should not be escaping from that red fitting. That is an extra drain pan fitting, maybe for a shutoff valve if the condensate backs up. Make sure the air is coming from that fitting and not from the cabinet around the PVC pipes. Try tightening the pipe and if that doesn't work, wrap some teflon tape around the fitting and screw it back in.
As mentioned in the comments, this will not have any effect on your air flow as the volume of air is so small. Check that the filter is the right size and that the blades of the blower fan are clean. this can really affect the efficiency for the blower.