node_load not show taxonomy terms
Yes, that is the correct and expected behaviour. Loading every entity referenced by a node every time it loads, could potentially get very heavy on the server very quickly. That's why referenced entities are lazy-loaded (albeit manually as far as core is concerned).

To load taxonomy term entities from the tid, you can use taxonomy_term_load(). If you want an (arguably) slightly more pleasant experience when working with entities/fields on code, check out the EntityMetadataWrapper class, which is part of the Entity API module.