Yep, that's normal and annoying. Even when you pop the roof open the sun shade will open all the way then when you close the popped up roof the sun shade will close aaaalllll the way. From what I have heard and experienced it will be a 2 step process if you want to open/close your sunroof but leave the sun shade open.
I guess they had to choose what to do when the sunroof was closed...leave the shade open/as it is OR to close it. "They" probably thought that most people, the majority of the time, close the shade after the sunroof is closed. That's pretty much what I do.
So, the decision probably came down to how to inconvenience the least amount of people the least amount of time...that kind of makes sense.
Would be cool if that was one of those options that could either be turned on or off.