the alarm thing on my ceiling went off, what should I do?
They shouldn't be. They should be connected to a driven ground rod. The lightning rod, invented by Benjamin Franklin, are placed at regular intervals on the highest portions of a structure. A lightning protection system typically includes a rooftop network of conductors, multiple conductive paths from the roof to the ground, bonding connections to metallic objects within the structure and a grounding network.
It's impossible to say without seeing the ductwork and unit, but I think the installer got lazy and didn't properly install the air return duct. Any competent HVAC tech can tell you if this is or isn't the problem. If it is the problem, you'll need a HVAC tech or sheet metal worker to make and install the ductwork anyway.