Quite right. It's normal.
The cleats come with the pedals, of course, but they are not all the same the shimano cleat ending in the number 51 is only supposed to release when you twist your ankle to the outside. The #56 should release with either an inward or outward twist, as well as in an upwards direction. You might be able to do some fine tuning by changing cleats, but geez, $20.00 a set seems kind of steep for what they are.
Some people are like a Slinky ... not really good for anything, but you still can't help but smile when you shove them down the stairs.