When using the Auto Align option, arrays are aligned automatically to each sub-spline - in the case of the to Spline mode, the X axis is aligned with the Spline's first segment, which in your case results in different "directions" and features like the Geometry > Slope will use this direction. Disabling the Deform > Bend option or enabling the Deform > Force Instance avoids any deformation of the used segments. I hope that clears it up.
Best regards,