It's normal. Guards usually spawn in a huge cluster somewhere within the city, then fan out to where they belong from there.
In Whiterun, they cluster up by Dragonsreach, so it's somewhat interesting that they seem to manage to be where they belong by the time the load screen is done.
In Windhelm, it's up in front of the palace doors. Could be they're filing into narrow path ways or something, but yeah, the never do seem to get where they're going that quickly.
Before the USKP fixed it, Falkreath and Morthal used to be clustered right in front of the fast travel markers and you'd see them pop into existence right in your way.