Hosting Account and WordPress MU

After a successful install of WordPress MU and creation of main blog I attempted to create another blog. It immediately directed me to my other website on the same hosting account. I had to then go in and manually create a sub domain with the account I am using for my MU Blog.

My question is: Is this normal?

I am hosted on a Linux server however my hosting company told me that I would have to make my MU Blog the Primary and my WordPress Blog the secondary on the hosting. I really don't understand any of this.

Is it going to make a difference what position either is in and stop me from having to go in manually and create sub domains to coincide with created blogs?