Yes, it's normal. As you tighten the axle nut, this draws the sides of the swingarm together, essentially making them farther from the swingarm pivot point. Just leave a little extra slack before you tighten everything up, and soon you'll know how much you need.
I start adjusting my chain, and as I get close, I'm also tightening the axle nut. This minimizes the effect once you're ready to make the final torque on the axle nut.