I'm sorry, I still don't get it. Look at the diagram: B and R are continuously in contact with liquid mercury and therefore exposed to its (notoriously sky-high) vapor pressure. Entrainment be damned: I simply do not see how any combination of velocity and gravity could prevent that vapor pressure from remaining in equilibrium with the liquid mercury. Now if the working fluid were something with a negligible vapor pressure, I could understand it -- but, evidently, I would be wrong. What is going on?