Yes, as completely normal as it is for a car. Many people think that brakes "are for stopping". In reality they are for reducing speed.
Objects have two coefficients of friction, static and kinetic. Generally, static is higher and once you break it, you move into the kinetic phase which is generally lower. When your tire is rolling you are actually using the static coefficent (the higher). The rolling surface of your wheel is in "static" contact with the ground as you are moving. Any decent brake should be capable of "locking up" your wheel. However, doing so will move you into the kinetic phase of friction as your tire actually slides along the ground. Since the coefficient of kinetic friction is generally lower, this is actually a less efficient manner of braking (under normal conditions, against regular surfaces).
Good brakes also have modulation. That is, they allow you to control the action of braking so that you can maintain the maximum braking force before you lock the tire and move into less efficient state. So, if your brakes are already capable of locking your wheel, your braking power has already surpassed what is useful. You need to learn to either better modulate your brakes, or find a set with better modulation.