The oblique shock exists to turn the flow. Its angle (and strength) determines the turning angle. Along the body (say a 10 deg diamond airfoil), the boundary condition dictates that the shock must turn the flow 10 deg.
The fan exists to turn the flow the other way. At the crest of our 10 deg diamond airfoil, the fan turns the flow 20 deg away. (There will be a final 10 deg TE shock to turn the flow back to zero degrees).
Next, imagine a streamline somewhat off the body -- say an inch or a centimeter if you prefer. That streamline must shock and turn because the 'lower' streamline turned -- it created a new boundary condition. The streamlines can not cross, so if the 'lower' streamlines turn, so must we.
However, when we get to the turn the other way, only the on-body streamline must turn instantly. Higher streamlines can turn more gradually -- this is why an expansion fan has finite width -- it is a fan. The streamlines moving through the fan gradually turn, until at the end of the fan, they have turned the required 20 degrees.
The Mach angle of the leading edge of the fan is such that it will eventually hit the shock. This more complex area of the flowfield is usually not pictured in undergraduate texts as it is more complex. Good for you for having this question.
The streamline just above the blue streamline does not need to follow the body -- it only needs to follow the blue streamline.
When the fan reaches the shock, it relieves the need for the shock to turn the flow as much. Instead of turning 10 degrees, a streamline may only need to turn 9.5 degrees because the fan has turned the next lower streamline. Then, the next streamline only needs to turn 9 degrees, etc.
A shock that turns the flow less (at the same freestream Mach number) will be a weaker shock, and will have a lower shock angle. This results in the curved shock.
This kind of 2D compressible flow is a lot of fun. It relates to not only airfoils, but inlets and nozzles for engines and shock diamond flow in a jet. Everything that happens is a reaction to the boundary conditions. Think of what the boundary forces the flow to do and you'll be able to think through very complex flows.