It's definitely not supposed to be like this. My immediate thought is that these domes are a variable weight similar to a Realforce, but that would have to be an aftermarket modification since the HHKB is meant to have the same weight across all the keys. It could also be a factory error, where a poorly-made dome made it past QC. If you're interested in a project then you could always put your own domes in -- both Keyclack and Deskeys offer aftermarket domes at multiple weights, and you could use this as an excuse to lube the sliders as well. But if that doesn't sound fun to you, I'd recommend just returning the keyboard and ordering again, since I doubt it will "even out" over time.
(Also, as a note, any aftermarket domes will alter the feel of the keys slightly. I would recommend looking into this before doing any modifications, to make sure you can get a typing experience you'll enjoy!)