Yes, shedding is normal.
The reason you don't see shedding immediately after a relaxer or DC or whatever is that your hair is usually combed very thoroughly during the process, removing any stuck shed hairs that would usually fall from your hair after a while.
Imagine if your hair didn't shed. If you're 25 yrs old, then all the hair on your head would be 25 y-o too, instead of just a couple of years old. That would be some rough, ragged looking hair.
I do completely understand being tired of picking up your hairs though. I have a lot of hair on my head, but it is disturbing that I find my hair EVERYWHERE - on my bed, on clothing, caught up in sheets and socks in the wash, when I vacuum there are hair balls rolling up everywhere, in the sink and bath, even when I wipe my arse I find shed hairs. I'm just like "Stay put already! This is annoying and messy." But I'm nowhere close to bald, so...