Yes, that is normal. Your graphics card and (in some cases) your CPU are both running slower when on battery power to save battery life. What kind of video card do you have? For nVidia cards, go to Display Properties -> Settings -> Advanced -> (tab with name of card). In the right hand column, click on PowerMizer and move the slider for Batter Power to Maximum Performance. The settings for ATI cards should be similar.
As for the CPU, I dont know how to disable power saving. I beleive Power Options only allows you to set after how long you want the computer to go into Standby/Hibernation and does not determine CPU performance on battery.
If you do this, your battery life will suffer. My sugestion is to play plugged in. Or play something that isn't as graphically intensive so you don't lose battery life.