Yes, this is normal.  The B-2's audio feedback is a lot like a mirror.

We'll use a mirror as an analogy to illustrate why the B-2 continues to generate feedback when the headband is removed from the head, or is disconnected from the controller box.  Basically, if you are sitting in front of a mirror, you will see yourself reflected back in that mirror.  However, if you get up and leave the area in front of the mirror, it will no longer reflect an image of you.  Does that mean that the mirror stops being reflective, just because you are no longer in front of it?  No, the mirror is definitely still reflecting whatever whatever happens to be in front of it.  This same basic situation is at play with the B-2.

When someone removes or disconnects the headband mid-session, the B-2 will still reflect what it observes, but the reflected information won't be about your brainwaves.