Existing brushes like curve tubes would be good for this shape. But to answer the question, the orientation of your model is determined by its initial orientation on the screen when you first turn it into an insert mesh brush. If you had a cylinder running from left to right when you first clicked the button and it doesn't orient along a curve the way you like, go back and reorient it vertically before turning it into an insert brush to see how that changes the orientation.
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