I just picked up a pair of Over-Ear Sennheiser Momentums and noticed the right side is much louder than the left side.
Is that normal and does it go away after a while?
It's not normal. Certainly it's worth running them in (play music through them for 24 hours) to see if it does go away but if it doesn't then go back to the retailer for a replacement.
Make sure the cable is fully inserted!