I don't use GNOME on any of my systems anymore (the 40 update destroyed all hope I had for the desktop going forwards), but I'm convinced you can get some settings transferred by poking around in your ~/.local directory. Having written a few GTK applications in the past, it seems like the rationale for this is because of GNOME's settings API, and how they define compliance with the GNOME spec. I find it to be a total clusterfuck, and if I had any confidence in the desktop's current management team I'd probably open a few pull requests/RFCs to try and fix it. I might sound a little heavy-handed here, but the "my way or the highway" rhetoric that GNOME's developers are pushing right now makes it really hard for me to take their desktop seriously, or blame anything but the developers themselves for their lack of features.

In any case, I can assure you that behavior is perfectly "normal" to them, unfortunately.