Hi,
It's not an error. It's done on purpose. The goal of the payment method fee is to add fees to the whole order, for example to conpensate the fees of your payment gateway, or your bank for that payment method. The fees of the payment gateway or the bank are on the total of the transaction, including the shipping. So it's normal that the payment method fees of HikaShop are on that total.
Now if you want to change that for your case it's not impossible but would require either the development of a custom plugin or some hacking in the core files of HikaShop.