Yes, it is very normal, this varnish is what holds the transformer together. If you use a solvent to remove it, you will risk having the transformer delaminate on you.
Most folks just paint right over it with a flat black paint.
It goes without saying but make sure you tape off the areas before painting. The cardboard braces that come with the transformer work great when painting.
Place a piece of sandpaper on a hard flat surface like a pane of glass, then slowly sand the sides of the transformer to remove any excess varnish. That will leave you a nice clean surface which once painted will look perfect.