Yes, this is expected on Macs, and it is done in order to help you make your applications compliant with Apple’s standards.
The “Python” menu you are seeing is the “Application Menu” and its name is taken from the
.app application bundle that is creating the windows and other UI elements. When you are ready to distribute your wxPython application then you can make an application bundle for it and it would then show your application’s name there.
Also part of the Apple standard is for the About, Exit and other stock menu items are to be present on the application menu. So wxWidgets automatically moves menu items with those stock IDs over to the application menu where they need to be. This does make things a little awkward at times, but with careful planning you can set up your menus so it doesn’t end up with empty menus and such.