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Agree, this is normal...
1. The stylus traces the modulated groove.
2. The cantilever, which is rigidly attached to the stylus, vibrates accordingly.
3. The vibrating cantilever imparts these vibrations to the air (like a tuning fork, but on a smaller scale).
4. You hear the vibrations.
For clarity, Mofimadness' explanation of how a cartridge works is correct for a system that's powered up. Of course this isn't relevant for the question you posed.