I have a HHKB Professional Classic and tried the same thing, it seems that the stickiness sound is only present if you press down on the key with a lot of pressure.
So much so that it'd be way past the amount of pressure required to actuate the switch.
I'd say that it's normal, but if it's bugging you that much you could try looking at the membrane which seems like the most likely reason for the stickiness effect.