This IS right. It happens when your current high bid is only slightly more than the second highest bid. For example.
Someone else has a proxy bid set at $10. You bid $10.01, and now you are the high bidder. Later, you decide you want to proxy up to $15 in case you get outbid. The current high bid jumps up to $10.50.
It happens because your original bid of $10.01 gets cancelled, as if you never made it. Your proxy bid is $15, so eBay sets the current bid at $10.50 which is one increment higher than the second highest bid of $10.
There's another explanation of this in the newbie FAQ somewhere, but I'm too lazy to go find a link for you. Hopefully I explained it good enough 🙂