Pontius Navigator
A line of longitude is a great circle. The yellow track, if I read it right is not a small circle.
The grey track is a rhumb line, ie a line of constant heading that cuts all lines of longitude at a constant angle.
I understand that the grey line in Richards map represents the great circle. In the Mercator projection lines of constant heading are are straight lines. This case is special because we are getting close to the magnetic south pole where magnetic deviation rises to >30W. That is why the constant magnetic heading line (yellow in Richards map) turns to the east. Without deviation it would be a straight line in this projection.