My bike jolts forward when I put it in gear after first starting it; is this normal?

It's normal for the bike to jump forward when it has sat for a while. The Ninja 250 has a wet clutch; the same oil that lubes the engine also flows in/around the clutch. If the bike sits for a while, the oil will be forced out from between the clutch plates; the bike jerks when you shift from neutral into first because there is not enough oil between the plates for them to slip.

You can't really avoid the bike jerking. You can minimize it by holding the clutch in for 10 seconds or so, and maybe rev the engine gently a couple of times before clicking into gear; that usually gives the plates a chance to break the surface tension between them. Just remember that it's not recommended to let the bike idle while cold for more than about 10 or 20 seconds.

Another suggestion: Put the bike in gear before starting it (you should be parked in first, anyway). Pull the clutch in and rock the bike a bit to break the clutch plates free. Just be sure to hold the front brake, just in case...

After the bike has been fully broken in (after, say, at least 5000 miles) you could switch to a synthetic oil; that will lessen the tendency of the bike to jump forward.