Yes, this can be normal. In Lightroom Classic, “Store presets with this catalog” does not necessarily mean every preset file will be placed directly inside the catalog file itself. It means Lightroom uses a presets location within the catalog’s folder structure.

Also, enabling that option does not automatically move or copy presets you already had. Existing user presets may remain in the standard Adobe user-folder location unless you move them yourself. Lightroom does copy its default presets for each catalog when this option is used, which can create duplication across multiple catalogs.

So you’re likely not doing anything wrong. If you want older user presets to live with that catalog, you’ll need to move them manually. This setting is most useful when a complete catalog setup lives on an external drive and needs to be used on multiple computers without syncing.