Yes, this is intended behavior because of the way webpack works. main.css is compiled and injected by webpack during yarn start and you will always get a 404 message for main.css when using yarn start.
If you run yarn build you won’t get this message, but you also won’t get browsersync and live-preview of your changes.
Is something not working? Do the styles not appear? Or is the 404 message the driving concern here? If it’s the 404 message, then this is working as intended --the intended workflow is to use yarn start during development to see your changes in a browser as you save your work. If something else is broken, can you describe what it is?