Depends on the technology in the lights/power conversion electronics. Many LEDs are really basic - just some form of current limiting and a rectifier - and these typically are instant-on. Others have a switched mode power supply - and these often have a switch on delay as the converter starts up.
So it's probably normal for the lights the OP has, especially as they all behave the same.
So it's probably normal for the lights the OP has, especially as they all behave the same.