Oh yeah, it's normal. Nothing is wrong.
Here's what I do: If they aren't tail tapered, I mark the nock ends so that shafts have the crooked end nearest the point of the arrow. My reasoning for this is that if it becomes a stubborn spot, it's easier to straighten with the heal of your hand or a roller when the crook is NOT under the feathers...this also still allows you to have your nock perpendicular to the grain too, and have the grain feathering in the appropriate directions. It doesn't matter which end you start on. It all works out in the end.
I have always just used the heel of my hand to straighten, by the way. And I have made a TON of cedar arrows before I made the switch to Doug fir. Oh and you definitely want your shafts to be straight BEFORE you polyurethane them.
I also prefer to leave the arrows full length until they are finished, by the way. And don't cut all at once in case you find out that they are stiff in spine after shooting a couple.