Yes. Its normal. Look at Arsenal's results from last season. Almost every match they lost in the season to "lesser" opposition, they had the majority of possession and often more shots. Like Wenger, it seems you don't recognize that results don't come down to stats. Look at Leicester in the season they won the title - did they ever have the most possession and most shots in the match? No, they took advantage of the opposition. And that is what is consistently happening to you. Because you are allowing it to.
You are almost certainly taking an attacking approach and leaving yourself open. The AI is taking advantage of that.
If you run into the same thing every version, perhaps taking the same approach every version of FM isn't the correct approach....? Something to consider.