This is something that occurs on every vehicle I've driven in the last 15 years, so it's obviously not a malfunction but a design choice.
When you turn the selector to blow either on the floor or the defroster there is always some air blowing from the dashboard vents. If you don't want it to blow there you have to close the vents (which in some vehicles you can't really do or it whistles).
I find it annoying to have the heater blowing in my face in the winter. It's my feet that need the heat (I drive 300+ miles a day so it's kind of frustrating).
Why do the car makers do this? There must be some reason for it.