Yes, this is normal, and your explanation is correct. When a dump of OSM is made, it is done by node nodes within boundaries. These same nodes belong to ways and relations that extend beyond the boundaries, so you always many Geometries 'chopped up' and as a consequence many warnings like this from the Neo4j Spatial code that is trying to make sense of the OSM file.
You will see warnings like this for the OSM data included in the test cases also. It is hard to find OSM data that has been fully cleaned up so all Geometries are fully contained.
It is possible, however, that actual bugs could cause the same warnings. But I remember I tracked down very many of these warnings when I first ran the OSM importer, and I always found them to be due to ways that were cut during the export.