It is the default behavior, yes. It is recommended that all running software are closed to ensure the best possible uninstallation performance. This is because Windows does not allow any files to be deleted that are open. So, the more software is running, the more likely it will be that Windows will prevent some data from being removed during the uninstallation.
If you don't want all running software to be closed during uninstallation, please uncheck the "Automatically close all running programs to perform the uninstallation" that is visible before the uninstallation starts.