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Good afternoon. The air coming in through the concentric pipe should never go into the ductwork unless there's something majorly wrong with your heat exchangers. A more likely cause of cold air entering the duct system is leaks in the ductwork. I would recommend inspecting the supply and return air ductwork and see if you can spot any holes. If the air is coming out where you can feel it, then the hole should be easy to spot.
The burner box should be completely separate from the main blower that circulates air through the ductwork and into the house. The heat exchangers are what the flames go through. There should never be air coming from the burner box/heat exchanger into the ductwork.