Yes that's normal. But the plugs don't stop glowing as soon as the light goes out, though they do stop if you start the engine unless you have one of these new relays. The light just indicates the recommended wait time before starting. With older relays, this recommended time is often too short so just let it glow longer before starting the engine.

__________________
2004 VW Jetta TDI (manual)

Past MB's: '96 E300D, '83 240D, '82 300D, '87 300D, '87 420SEL