Some penguins, especially the newer models, are bad for this. Make sure that you have your intake tube adjusted appropriately in it's houseing. If I am not mistaken the inlet tube on that model filter is adjustable for flow.
If all the water is running out the overflow, that is a major prob, but if only some is running out, it's not that big of a deal besides the fact there is media bypass. Your tank will still be filtered, but it will not be as efficient.
Do you have the filter cartridge in correctly? with the blue filter pad facing the back of the filter?