Yeah it's normal, even though you know you're dreaming the mind doesn't find it easy to make reality defying changes at first.

Build up to it, and get your mind used to the fact that anything is possible first, flight and telekinises where the first things I managed. Also it would probably be easier to step through a door to another location, as it seems less unreal. If you close your eyes you expect to see the same thing when you open them, but you expect there to be something different on the other side of a door.