What you describe isn't normal behavior. Mendix should always go to the first page after a search is done. So basically this is a bug, but I already tested this function in a newer Mendix version: Mendix 6.6.0. There the behavior is working as designed: going back to the first page.
The bug is already fixed in a newer Mendix version. I advice you to upgrade to Mendix 6.6.0 or higher. My experience is that Mendix 6.6.0 or the lastest Mendix 6.10.3 are stable version. Upgrading to a newer Mendix version is easy and thanks a couple of minutes: Install the new Mendix version and open your project in that new version, Mendix will automatically upgrade your project. Make sure your whole team executes the upgrade, you can't work in two Mendix versions at the same time