This is normal. When in any of the S-? modes the gear box will automatically down shift for you when the engine falls below a certain RPM. For example, my experience over the last couple of years has been to rarely shift down myself lower than 3rd gear and to let the car do it on it's own. Much smoother stops that way.
Manually down shifting to, say, 2nd can be a bit jerky when you are ultimately coming to a stop although you can control this easily enough if you pay attention to it. And unless you come to a complete stop it will not shift in to 1st, just second. But when you come to a full stop it will set itself up in 1st gear.
if you let the tranny downshift on it's own, you will get that irritating bang (like you were hit from behind) upon accelerating from a full stop. I prefer to shift it myself, all the way to first gear when I come to a slow roll or a complete stop.
The actual gearbox is a true manual, but everything else about it is not. Down shifting on its own is the car's way of telling you that if you wanted to down shift on your own, you should have done so by now. I down shift the car myself 95% of the time. The other times, I have it in D mode.