Is this normal: my direct Ethernet is 5x faster than the same Ethernet via Airport Express?
It is probably because you are connecting to a gigabit switch when referring to "direct Ethernet" and when you connect to your Airport Express via Ethernet, it is connected at 100Mb or "Fast Ethernet"

From Apple's website for the Airport Express:



I would check the switch you are using to connect "direct" and confirm that it is a gigabit switch.