Sorry to say yes, it is "normal".
Back in ancient history the internet channels weren't even on the the program guide and could only be accessed via the TalkTalk Player. Then we rejoiced when they made it to the programme guide. Later, we cheered when we could record them. So, things used to be worse 
As you have found though, it's only one internet channel at a time, whether you're watching or recording it.
Anything's possible but I expect this is unlikely to change with the current TV boxes and TalkTalk requiring a 5Mbps download speed for internet channels. To handle more than one channel they'd need to up the required speed or have a more complicated set-up. It's possible, but I wouldn't hold my breath for it.
Specifically for The Walking Dead, it looks like it gets repeated in the early hours of Tuesday morning if that's any help.
John