Yes, normal. Air needs to move around in the chamber and when it gets pushed out of such a tight seal the driver isn't as free to move until air gets sucked back in. Not very scientific explanation but your headphones are just fine.
Sorry you didn't like the M40X. I use mine at work with the E10 Fiio and I love it. Agreed, The Shure SRH440 is excellent at that price point too. We're talking $100 headphones here and pound for pound both are great values.
You could try a different pad but whatever modifications you make will sacrifice qualities that make the M40x one of the best values in headphones. You are looking for something open backed if you want airy with a wider soundstage.