That's an expected (designed) behavior. In case on certain escalation step more than one user is notified (Notify all group members or use Calendar where several users are at once On Call), notification will be sent to the primary addresses only. It's suggested that in case more than one user is notified, it doesn't make sense to notify everyone several times. At least one of them will react on an alert.
There's already reported feature request on it Notify all contact in user escalation (BUG REPORT). You can vote for this feature.