No, this is not really normal.
Normal is more akin to this situation. If you use Clean and Blues, or Crunch and Blues, and set each's MV so that the volumes are the same when switching channels, you can toggle the mode switches and switch channels and have no real difference in volume.
However, throw it in Burn mode, and with all your knobs at identical, volume-balanced settings for the other three modes, Burn will leap out at you at a much higher volume than your other three modes.
You could have a finicky preamp tube in one of the slots. See the owners manual of the Express Plus series to get an accurate demarcation of which half of which tube is allocated towards which gain stage in each mode (the manual for the regular series didn't finish laying out all of the combinations). You can then swap preamp tubes in and out to at least see if it's a tube-related problem, versus being a circuit issue.