No, it's not you, most people's don't retain the time. (The few that have reported it retaining the time, also say that it shows the time on the front panel when in standby mode. Nobody else's does.)
Actually, the problem is more complex than it appears. It retains the time when in standby, but when it comes out of standby, it resets it. (At least, this is what it does on the firmware versions I tried.) You can verify this by setting a timer. It'll wake up for the timer, but then no subsequent timers will work because it'll lose the time.
You MIGHT be able to work around it by setting GMT=ON in the settings screen, which tells it to get the time from the satellite. (Don't forget to set your timezone too.) That way, when it wakes up for the first timer, it SHOULD reset the time so that later timers will work. The problem with this is, some transponders DON'T broadcast the time, and some that do broadcast the time, broadcast their local time instead of GMT. So it's far from an ideal solution.