This is normal. The reason is that we want you to be able to see what content you have on your camera even if your phone doesn't support playing back or downloading that content. One example of content that will cause this if you are trying to play back video recorded in Protune. This isn't the only possibility though, check out this article which describes what can and can't be played back and copied on various devices:

Supported Resolutions for Playback and Copy

If you try to play this type of video you will see a message that states: "This file was created using pro-level settings. Copy this media to your computer for viewing." Here is an image showing the messaging: