Hi,
No, it's normal that they are split across the pages.
The system bases itself on what you configured in the "ordering column" and "ordering direction" regarding the order of the products in the listing when it loads the products to be displayed on one page. And once it has the products to be displayed, it arranges them by category.
You would have to configure the ordering column and ordering direction settings in a way that the products would be listed in the necessary order to not have the split.