Yes, that's how it works. If you change the DNS settings it will send everything straight to proton.
Ofcourse you could also do auto-forwarding. But as far as I know this disables the possibility to send from me@me.
It's annoying, isn't it? :-/
I've also noticed that if you want to send from anotherme@me you have to create an identity with that name first, which cannot be done through the app (you need to log in through the browser first). I typically register at services like servicename@me and when I email them they are always confused that I am sending mail from me@me (sometimes they refuse service because they expect me to send from servicename@me) so I have to go through the hassle of creating an identity.
Sure there's reasons for protonmail to work this way - but it's very annoying. I guess there's always a trade-off between security and convenience.