Yeah, it's normal, and it usually ends up getting sucked backward, presumably due to the turbulent airflow in the space between the end of the vehicle and the engine nozzles:
Echostar: https://youtu.be/zEfEBJfD_RE?t=18m23s
For some reason that effect was much more pronounced during this flight (at least in the video) than in previous launches that I watched. Maybe it was because of the camera angle looking more at the side of the rocket when usually you are looking more at the bottom.
Check this page, the Merlin uses an open cycle, where fuel/oxidizer used to fuel the pumps is just dumped overboard.
https://en.wikipedia.org/wiki/Gas-generator_cycle
This picture clearly shows both exhausts: https://en.wikipedia.org/wiki/Merlin_(rocket_engine_family)#...