If you are loading the document directly from the email, yes this is normal since the document isn't actually saved in your Documents or Downloads folder, it's stored in the temporary folder so that it can be opened and viewed. Since it's in the temp folder, saving any changes there would be silly.
To avoid this, when you get a document as an attachment, first download the attachment to a folder, usually Documents. Then open Finder, navigate to Documents and open the document from there.
One you understand what is actually happening, it doesn't seem so ridiculous.
And welcome to the world of Macs.
