Yes, that is normal.

Servos have gears inside that convert speed into torque. The gearing gives a tiny motor a bunch of torque to lift heavier objects. A motor alone will not have the strength to move gears.

Because the gears convert the tiny motor speed into output torque, there is a reverse process when applying energy to the output shaft. For example, when you apply energy to the output shaft - you are actually reversing the process. What you are doing is spinning the motor very very fast - but using much more force to make it happen.

The output shaft on a high torque servo may not always move freely.

Here is a great explanation on how gears work: http://science.howstuffworks.com/transport/engines-equipment/gear-ratio.htm

Thanks, but then why do the other servo's allow me to move them freely when power is off?

The magical elves inside j/k this is because the metal gears have tolerances on each tooth during the manufacturing process. The tolerances are determined for operating performance - not manually moving the output shaft. Some of the servos have gear tolerances that making moving the output shaft a little more difficult than the others.

We have many robots where the gears do not move unless they are powered and moving by the ez-b and software. :)

You only need to be concerned is when you power them, tell them to move but then they don't... Some gear motors and servos back drive, some don't... All your servos are fine... :)