Yes, this is how it is by default. Also coming from Windows, I prefer to have the document windows maximized all the time to hide the desktop wallpaper. If you want to do that also...
From the menu bar: View > Screen Mode > Maximized Screen Mode
The downside to this is it is much harder to copy layers from one Photoshop document to another. Spaces and expose don't really like when I drag and drop (sometimes it works, sometimes it doesn't). Expose just doesn't work too good with the Maximized Screen Mode.