At the beginning of PhD research, how to balance independence with satisfying my advisor's expectations?
Is this concern a normal feeling?


YES.


  For the purpose of this literature review, should I just follow where the research takes me or should I change the focus of it and just try to please my advisor?


The correct answer is neither. 

Given that this is the beginning of your PhD research, you haven't yet developed much of a collaborative relationship with your advisor. This is the time to start.

Consider your advisor's initial suggestions as you would any advice from someone more experienced than you. (Even if your advisor is not an expert in machine learning, he/she does have more experience than you in developing promising research ideas that are suitable in scope for a qualifying exam - don't underestimate that expertise.)

That means you should definitely start out along the path your advisor set out for you. (Unless you hate it - in which case, go set up a meeting with him RIGHT NOW and tell him your concerns.)

But, that doesn't mean you need to follow his instructions to the letter. If, somewhere along the way, you are inspired to follow up on a particular idea, don't reject it just because it's not exactly what your advisor told you to do. Part of what's expected of you is to come up with ideas of your own.

If you have an idea you'd like to follow up on, do a little bit of work to verify that it's not a complete waste of time, and then bring it to your advisor and ask for his advice. He/she may explain to you why it's not advisable to pursue it (e.g., maybe it's not appropriate in scope), or suggest pursuing it further after your qualifying exam, or maybe your advisor will be as excited about it as you are.

Whatever the end result, make sure to communicate honestly and often with your advisor. Especially at this early stage, it's a good idea to check in now and then with your progress and make sure you're on a path that's heading somewhere good.