All the dynamos do this. I guess I'd describe it as a pulsing rather than a vibration, but let's not argue semantics. I know Sheldon Brown has explained it somewhere, but I didn't see it in a quick glance at his
dynohubs page. At any rate, what you're feeling is increased resistance as two magnets get closer together, and then decreased resistance as they come apart again. Yes, energy is used as you push them closer together, like when you pedal your bike up a hill; but it is released again when the magnets come apart again, like when you coast back down. So don't worry, not that much energy is actually being sucked away.
I'm so accustomed to the vibration from the dynamo that I hardly even notice it any more.