Well you probably know that I understand completely. Your situation is not as extreme as mine since I obviously have a very strong favorite. Spike was bought for my daughter and is very loyal to her and Gracie was bought for me but we just never clicked personality wise. She is very independent and hates cuddling and baby talk and I love to cuddle and baby talk.
I drove her crazy before I got Sugar- I mean I REALLY drove her crazy trying to force her to be something she just wan't. All three are very loved and taken care of very well. None get preferential treatment but Sugar is my doggie soul mate, I really feel like he was made just for me, and he will always have a special place in my heart.
So to finally address your question, I think its perfectly natural.
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"If you have men who will exclude any of God’s creatures from the shelter of compassion and pity, you will have men who will deal likewise with their fellow men." — St. Francis of Assisi, 1181-1226