Have trouble retaining material I learn in grad school. Is this common?
If you're putting the time in, successfully doing the homework, and passing the exams, then you're doing fine. The first year of grad school in mathematics should be thought of as a horrible bootcamp to get through rather than a deep learning opportunity. How comfortable someone is during their first year is mostly a function of what their undergrad experience was like. So it might be true that your undergrad program was less strenuous than that of some of your fellow students, but if you're keeping up, you're getting the job done.

Depending on your learning preferences, you might find that things percolate better if you work with others. I would also suggest that you keep good, searchable records for what you want to get back to at a later date. This will be especially helpful when it comes to prepping for written exams.