That is normal, it is due to the way the headlights are wired. I'm not sure if it is legal however... It is all down to the standard H4 bulb having two filaments inside the globe, and being used with two wattages.
Standard headlights:
Low beam = H4 (55W low beam filament)
High Beam = H4 (60W high beam filament) + H1 (55W High Beam bulb)
This means with the high beams turned on, the low beam 55W circuit of the H4 bulb is turned off, but the high beam 60W circuit of the bulb is on (in addition to the H1 bulb).
Projector headlights:
Low beam = H11 (55W)
High beam = H11 (55W)+ H9 (65W)
When you have the high beams on, the low beam circuit (55W) and the high beam (65W) are both getting power.
Projector headlight in standard car:
Low Beam: H11 (55W)
High Beam: H9 (65W)
When you use the projector headlights in a standard car and you flick on the high beams, they will try and light up the secondary wattage of the low beam bulb (which doesn't exist) so you just get the H9 bulbs lighting up.
There is a wiring mod you can do to "fix" the circuits to work as designed.