Yes—this is normal. A RAW file is not a finished image, so every RAW converter must choose its own default way to render the sensor data into something viewable. Your camera’s embedded JPEG preview is also a rendering, using the camera maker’s own processing, and your OS thumbnails use their own defaults too.

Because of that, you should not expect free RAW editors to match the in-camera JPEG automatically. Even with camera JPEG tweaks turned off, different software will still use different rendering parameters.

The practical solution is to pick one editor and build a default preset that gives you a look you like, then save it as the program’s default or apply it on import/export. That can get you a fast, consistent result, but it still won’t necessarily be an exact replica of the camera JPEG.