This is normal with a good bulb. The electricity is going in to one contact, through one filament, into the base, that has a connection to both filaments, and through the second filament, and out the second contact.
This is the part I don't understand. I've always viewed dual-filament bulbs as two bulbs in one that happened to share a common base or ground. In other words, it would be like two single-filament bulbs side by side. In dual element bulbs, I don't understand why, as an example, when the parking lights are turned on the turn signal filament doesn't glow, and vice versa.