Becuase the sensor is heating up, yes this is normal
An o2 sensor cannot read accureatly when the sensor is cold with the engine slowly heating up the sensor will heat up that bit more, that a/f guage will not be accuarate so i woudlnt worry to much about it those guages are nothing really more than something fancy on the dash, for it to be accurate you need to buy a wideband sensor which is a 5 wire sensor, yours would be narrowband which only really reads lean or rich.
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