Every time I want to change SIM, I have to change SIM, then turn phone off and on again for it to recognise new SIM. Is this normal?
^that's overexaggerating. Whether a device is on or off should not affect the physical process of changing a SIM. iOS has SIM hot swap since v7 and this need to be implemented in W10.
Changing a SIM is however not only physical. And windows phone has no hot swap. Damaging also means shorting so possible "mess up" the software.
So if you do something which is "against" the instruction than don't expect that it always works.
TBH, I don't think this is strong excuse, iOS can do this from long time ago
Personally, I would never hot swap a SIM.
If you need to change SIMs that often that powering down first and booting up after is an issue; you really should get yourself a dual SIM model.
I am not sure if my memory is wrong but recall I can hot swap SIM with 830 before. Weird.