Should my pool be draining if my selector on sand filter is on closed but the drain on pump has a hose connected to it(not capped off)?

Not sure which drain you mean
Backwash/waste port or the little drain at the bottom?
In either case it should not drain your pool if the multi port valve is set to closed.
If it is the backwash /waste port (large hose) it should only let water out if the multiport valve is set to backwash or waste.
If it is the little drain at the bottom (small hose) this will drain the water from the filter only if the multi port valve is set to closed.
This is all assuming your mpv is functioning properly.
If the mpv is set to any other position it could potentially drain your pool.
 
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