Here, I marked some of your photos. The problem is that you're wrapping the wrong side of the chain and wrong direction onto your cassette. The chain coming out of the upper pulley/jockey wheel (the wheel at the center point of the pivot) wraps around the cassette. The chain coming out of the lower pulley/jockey wheel (the wheel at the very end/tip of the cage that swings) runs along the underside of the chainstay towards the chainrings. And you should not be running/pulling the chain to fix the loop, but instead you should unfurl the loops while keeping the chain stationary.