It's normal.

I've tried a dozen different chain lubricants over the years and they all do the same thing. The lubricant sucks up the dust and capillary action pulls it out of between the rollers and links. Eventually pedaling and shifting action knocks off the dust clumps and the chain ends up shiny and noisy. I use finish line dry as well and it's worked the best for me. Chain-L is also good but better in the wet as it tends to get gummy when it's dusty.

Waxing is pretty worthless, you end up with a loud chain within the first few dozen shifts are the pedaling and shifting action knock all the wax out of the chain. I like waxing for racing at the track but that's about it.