No, this is expected behavior.
Each sandbox is it's own versioning repository, support file, directory, and repository versioning (snapshotting), branching, merging, and layering.
In our current web client, changes made to assets in a user sandbox *do not* take advantage of that user sandboxes underlying support for file versioning. In our current web client, file versioning and repository versioning (snapshotting) occurs upon submit to Staging only. So, in our current web client, if you want to version your changes, you submit (check-in) to Staging.
Now, you can create a custom action for file versioning and user sandbox snapshotting using AVMService. You can configure in those custom actions in our web-client-config-wcm-actions.xml. This would be a welcome Community contribution on our Forge, and something that we would evaluate for inclusion in a future Alfresco distribution.
Kevin