Playing in time line stops when the bar touches the mark out point Basically my questions is: what is this orange bar attached to the playing cursor and how can I remove it to make the cursor stop at the marker when I'm playing selection. Many thanks!
The orange bar is the frame indicator. In the screenshot, the playhead is displaying the last frame of your in/out range.

If the playhead stopped one frame further, as you suggest, it would be showing the next frame AFTER your in/out range (and could be confusing, although obviously this method is too!).