Yes it's normal. If you were only used to walking barefoot on shagpile carpet, I'm sure you'd 'act lame' if made to go bare on gravel too!
Most horses will need protection/support for their hooves on at least some surfaces/situations that we require of them. Assuming feet are healthy, if it's only a matter of crossing a bit of gravel in the paddock or to get to an arena or some such, I'd just let him do it at his own pace, but perhaps not ride on it - an ounce in the saddle is worth a pound on the foot... but if you have much gravel to walk/ride on then I'd consider hoof boots or such for where necessary.
It's all very well to say the horse just needs time to 'transition' to it, but depending on his lifestyle & living environment, that may just never happen. And comfort is not only important because it's... nice, but important for hoof development & soundness - if a horse isn't comfortable, he won't be moving properly, developing strength & may be doing further damage to his hooves & body. And that's aside from the fact that most hooves aren't healthy in the first place - they need to be healthy & functional *before* they can start becoming tougher.