Congratulations on your new printer! That’s definitely NOT normal, the bar should be attached and the printer should work out of the box. I would either exchange it where you bought it, or contact dremel support and ask for a new one.
Make sure they don’t give you a refurbished one, since you just bought it they should give you one that’s new.
I’ve been very happy with this printer, I hope you get a new one that works. Good luck!