No, it isn't normal for the wand to feel like it's burning your skin. However, there are a few reasons as to why this might be happening. The first reason is you're holding the device on the one spot for too long and heating your skin too much in that one area. You need to keep moving the wand over your face constantly throughout the treatment (we have a YouTube video demonstrating how to use the device here). The wand isn't designed to stay on the one spot without movement.
Secondly, you may have the setting turned up too high for your skin's tolerance. Try turning it down by pressing the "on" button till it reaches a lower level. When you turn the device on it will automatically be on the lowest setting. To adjust this, press the "on" button again and it will increase and decrease the strength.
Thirdly, your device may be faulty. If you've tried the previous two options and you still find it burning, please contact customer support on firstname.lastname@example.org.