Hi,
Yes, that's normal. The PayPal Express checkout payment plugin works differently from normal payment plugins. The goal of an Express checkout is that the checkout on your website is skipped so that the checkout happens on PayPal's website.
So normally, you have the shipping fee added by PayPal itself in such cases:
www.paypal.com/us/webapps/mpp/calculate-ship-and-tax
If you want customers to go through your checkout, then you don't want to use Express Checkout. Instead you want to use the standard PayPal payment method, or PayPal Advanced, or PayPal Pro.