Is this normal?
Yes, it is. Sinew and other connective tissues (silverskin/fascia, ligaments) are very tough stuff; you need to remove as much as possible by hand before grinding.
Sinew and ligaments are strong, whitish strands or "cables" connecting bones to muscles and to other bones, respectively. They'll be in the same place on every piece of a particular cut of meat: a poultry drumstick has an easily-identifiable piece of sinew -- actually the "Achilles' tendon" -- heading from the fleshy part to the exposed end of the bone.
Silverskin is a connective boundary between muscles. It's a thin, clingy, and annoying sheet, translucent silvery white, that you will find on the surface, and defining the divisions of, various cuts of meat. It might make it through the grinder if your blade is nice and sharp and the piece isn't too big, but it's best to take it off (your teeth can't deal with it much better than the grinder can). You'll need a thin, sharp, narrow blade for this: a filet/boning knife, sometimes a good paring kife.
Essentially, anything that's not fat or muscle needs to be taken out before the meat goes into the grinder.
Chicken thighs have a lot of connective tissue. Some of it is hidden inside the muscle segments on the underside of the thigh; make sure you cut those open.
Depending on the particular piece of meat you have, you may end up with what seem like extremely small bits after this process. Even a nice pork shoulder can result in 1/4" or thinner pieces after the internal connective tissue is removed. This won't have any real effect on the grinding process; the only thing to watch out for is thorough and even mixing if you end up with many different sizes and are marinating/curing the meat before grinding.
You can grind without removing all the tissue (it gets frustrating sometimes), but you'll have to be prepared to stop the grinder and clean the blade and plate frequently -- the instant you notice that the meat is not coming out of the plate in clean, cohesive, and separate lines. If you see any signs of smearing or over-grinding (the grind will start to be too fine and become pink as the fat and meat combine), stop and clear the blade. Otherwise, the mixture won't emulsify properly, the fat will melt out when you cook it, and the sausage will be dry.
Does my blade need sharpening already?
It may very well, but this still won't help with sinew and ligaments.
You should treat your grinder blade the same way you treat your kitchen knives -- maintain its edge, rather than waiting for it to become completely dull. I'd say that I put my blade onto a sharpening stone every 50 lbs. or so. The nice thing is that it's extremely easy -- you are grinding all the arms of the blade at the same angle: flat. The plate also needs to be maintained by grinding the surface where it meets the blade (the edges of the holes should be sharp), but I'd say that this can be done much less freqently. The blade and the plate can both be maintained quite successfully and easily with a piece of fine (800 grit) wet-dry sandpaper slapped on a table.