First and most important, do not run the pump dry, it must be pumping water, other wise it will burn out the seals, there are challenging to replace.
With the engine running the pump is always pumping water, from the onboard tank round a loop to the pump and back to the onboard tank, it's a low pressure open circuit. On the return leg between the pump and the tank there should be a by pass valve with a servo. This valve closes and diverts the water supply from the pump to the boiler, it's important that the valve closes hard so that no water passes back to the onboard tank (this will need checking). The pipe from the pump to the bypass valve and to the boiler needs to be a copper pipe since it has to withstand pressure greater than the boilers pressure of 6 Bar, before water will enter the boiler.
Where the boiler feed water enters the boiler there should be a non return valve, this will need checking to make sure it's functioning correctly. Please add photos of your set up so we can help.
On one of the Proteus sets I purchased, it had been piped incorrectly and was always pumping water in the boiler, once the two pipes were swapped over it was fine, please show us the piping at the pump and show where the by pass is