Yup that's normal.
Yup, that's normal. The regulator only regulates (huh, imagine that...) the pressure in one direction. If you set the pressure to 20 psi, the regulator will put 20 psi out. If you turn it down, because the regulator only regulates in one direction, the pressure in the line wont go back through the regulator and into the tank. If there's nowhere for the pressure to go, it wont go, thus venting is needed.
"Stop giving me credit for those stupid quotes! For that last time it wasn't me! STFU NOOB!" <-- Benjamin Franklin