A few of us have had similar issues. The red material is Red Loctite which was meant to adhere the shaft to the gear pulley. The placement of the gear pulley will depend on how it lines up with the belt pulleys on the back of the z axis. You will have to check, because I am not sure if any of the parts have changed, since I purchased mine when the Pro first became available.
I used two pry bars (one on each side) with padding in between to gently pry my gear pulley off. When it came time to place it back on the shaft, I used an old socket on top to gently tap it down with a hammer.
Here a link to a discussion that a few of us had awhile back that might help.
As far as placement, TX_diy was able to turn his gear pulley around with the large end of the gear pulley opposite of the motor and flush to the end of the shaft and have everything aligned. I had to extend the flat area on my shaft with a file and keep the larger side of the gear pulley toward the motor. Mine ended up being installed very much the same as in your picture. The key is to have one of the set screws secured against the flat area of the shaft and the three pulleys aligned. My method was probably not the best, but it has worked great for me so far without any issues.