When you pressed Play, did your arms look something like this? If so, you were doing it correctly. That step of the tutorial gets the first person mesh attached and visible, you will fine tune its positioning later on in the tutorial. If you look at the Components tab in your first screenshot, you will notice that the FirstPersonMesh is below, and slightly indented from the FirstPersonCameraComponent. That means it is a child of the camera component, and after you have set its position in the Blueprint it will maintain that same relative position to the camera component when the game is being played.
You’re right, that is rather odd. I actually went through this same tutorial myself a few weeks ago to make sure it all worked, and I did not run into the problem that you are seeing. I compared my code to what you showed, and everything looks correct. My suggestion would be to back up a little ways in the tutorial. Take your project back to where you were at this point, and then move forward to see if the same thing happens again.
That looks a lot better! I’m really not sure at all what was causing the issue you were experiencing, but it usually doesn’t hurt to go back a few steps and try again whenever something doesn’t look right.