^^^
Yes, this is normal. It helps to think of the S-mode setting as the "Upper Limit For Automatic Shifting" setting. S-mode is not manual shifting, it is manual limiting. And to be honest, the vehicle may do a lot of shifting between S1, S2, S3 and S4 when you have "set it" to S4.
My transmission is the 8-speed and though it most commonly defaults to S4 which I switch to S-mode there have been times when it has used S5. But with my transmission, "overdrive" begins with S7 and my S6 is roughly equivalent to S4 on the 6-speed. But S4 is not always the case. When I am going slow (for example when offroad) it will start in S3. And when I am going at higher speeds and switching to S-mode to use engine compression braking on a descent for example I have seen it start out in S5 so as to keep the RPM in a reasonable range.