No, I don't think that is normal.
The splines should fit snugly, but not so tight that they re-cut the servo output splines.
The Jetpower part number that I use with JR servos is 416125, "Servo arm half long". They are available for other brands as well, in more lengths. The half long arm features two metric threaded holes, which are just the right size for a 4-40 clevis pin to fit correctly.

In my earlier post on this thread, I mistakenly stated the brand "Airpower".
Correction: The brand I meant to say was "JETPOWER". Just a little middle aged confusion on my part.....
I will go back to that post and correct it.

Find them at [link=http://www.jetpower-usa.com]jetpower.at[/link]

Harley Condra
BVM REP
JetCat REP