Yes, this is normal. A lot of PC maker do this. Also normally, WinXP home Recovery is on some place in harddrive (you cannot get them out). When you have trouble and want to reinstall, just start machine and put one button, it will do recovery to put machine back to factory default. You can check the manual, there MUST be instruction in the manual.
In some PCs, you can make backup CD from recovery file. If this is the case, you should be able to find info in manual.
If you really want to get recovery CD, you could try Sony support (I believe sony do international warrenty), they may charge you for it.