I have an older XR3037HC. I just tried that test with a 750 lb. QA snow plow attached to the loader arms and certainly don't have that problem with a mere 400 lbs like you say in your video. My plow weight consists of the plow mounted to a 1/2" thick QA full plate. I can lift the plow off the ground and turn my wheels while sitting still from lock to lock. I'd say yours is not normal and NO, they all don't do that.
Have your dealer do a steering cylinder pressure test. On my 3000 series the steering relief valve is supposed to be factory set at 1740 PSI Max. I'd say mine must be close. I'd guess the 4000/4100 series would be about the same. Not sure, but am guessing you have a 4100 series. Even on another brand with Hyd. steering the symptoms and cures should be the same.
According to the steering troubleshooting guide in my service manual No response from turning the wheel can be any of the following;
1) Control valve - air in system
2) Pump - Low hyd. oil flow (relief valve low PSI setting)
3) Cylinder - Piston seal problem
4) Cylinder - Piston seal broken
5) Overload - Excessive weight on the front axle.
I could see your problem happening at or near full load capacity of the loader (that would be normal) but not at 400 lb.