Welcome to the forums and no, it is not necessarily bad that your bird gets this way, it is normal for birds that do not have much human interaction.
To keep its stress level as low as possible, while it is adjusting to being a companion bird, approach its cage slowly and don't suddenly appear quietly from a doorway or other room.
A lot of birds don't like having their space invaded and get upset with us sticking our hands in their cages, even trying to pet a new bird may upset it, so changing its food & water without trying to touch it is always a good idea and speaking to it in low, calm tones will help it get used to you.
Always let the bird come to you, rather than trying to grab it.....sometimes it may take a few days to several weeks before a bird feels comfortable enough to come close to you, but you are always calm and gentle around it, you should be able to make friends with it quite soon.
Congratulations on getting your new feathered friend.....
