Yes, it's normal for all the warning lights to come on initially, they should go away shortly after you start up. The purpose of this is to verify that all the bulbs and circuits are functioning.
Otherwise your check engine bulb might go out and you wouldn't even know it when something when wrong with the engine thousands of miles later and the light failed to light up. You're supposed to glance at all the lit up blubs when you first start the car and verify that none of the usual ones are missing.
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