Is this normal?

Every and any 3D format is by default lossy, as precision isn’t infinite.
It’s just a different kind (and degree) of loss.

But less jokingly - it’s not really possible to slice from NURBS. It’s not that it’s “not supported”. It’s not doable.
Think about it - your models get tesselated before being displayed on your screen. The model you’re seeing (and navigating about) is not a NURBS model, it’s a tesselated representation of NURBS surfaces.

The same goes for slicing - a NURBS based surface does not really describe a surface explicitly, it implicitly describes boundaries of a surface at certain (discrete) latitudes/longitudes along a surface. You have to create a mesh from it in order to get the full volume, and from there, project it onto planes / slice it.

It’s the same (but even worse) with formats that describe primitives, or parametric / node based data.

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