Until now (version 4.0.1) vectorial objects are drawn over all layers, and they aren't associated to a specific layer. So, yes, now it is normal.
Since version 4.0.2 (not yet available) it is possible to associate each object to a different layer, and of course hide objects when the related layer is not visible.
When version 4.02 is released, will there be a demo showing the association of specific objects with specific layers and the saving of a specific layer with its associated objects?