Yes it is normal behavior and can be aggravating as well. If the reference is open on your machine the file is loaded and locked in memory. That is not the case on another computer. That is why the PDM add-in is in Solidworks to perform PDM functions when the file is open.
My favorite is not being able to rename a file because someone has an assembly checked out that is several level ups and not affected by the rename. Drives me nuts that I have to check in pretty much everything in the vault sometimes just to rename a lowly part.