Yes it's normal IF you have iron in the water, and obviously you do or the water wouldn't be orange/brown. I'd think any well driller would know that but they don't. It was a driller that told you to shock the well wasn't it? Or was it a government agency just wanting to 'help' you?
I hope you didn't run the chlorinated water through a water softener or carbon filter.
You need to hook up a water hose to the boiler drain valve on your pressure tank T, and outside and then run off the well until the chlorine smell and this color goes away. Don't let the pump run dry.