That is a normal behaviour because your headset is tracked in a real world space. When you set up your VR boundaries you always see a center point of your space. That is where your capsule will be when you spawn a pawn. If you are standing at this spot then you should be in the capsule. But when you start moving around you will step out of the character capsule. If you want to have the capsule always around you you will need to constantly adjust the capsule location to your headset position. I personally prefer to use a pawn for VR instead of a character exactly for this reason.