I believe that's normal behaviour, while much of the user profile information is stored in a central location, most notably things like the users My Document, Desktop etc, some settings and files are still stored on the individual terminal servers (so the users experience may depend on the terminal server they're connected to), in particular any applications which save settings but are not terminal aware. Some of the profile data is synchronised to obviously improve performance as well.
There are various things you can do to mitigate the amount of data stored on individual terminal servers. This guide http://blogs.msdn.com/b/rds/archive/2009/06/02/user-profiles-on-windows-server-2008-r2-remote-desktop-services.aspx goes into a lot of detail of how it all works, and advise on mitigating steps that can be taken, including for instance limiting the amount of space allowed to be used by the roaming profile cache (and automatically clearing the oldest unused data).