No not every android phone does this but it is done in many HTC phones. The reason is simple: memory usage.
Here is the breakdown:
When the system is running out of memory, the inbuilt task killer of the system automatically kicks in and checks to see if it can stop an application and recover some RAM. HTC Sense devices employ a launcher that is "heavy" and often uses up a lot of memory so when the task killer sees you are not using your launcher and knows it needs the RAM for another app, it kills the launcher. Thus, when you hit the home button or quit the app, the launcher has to re-initialize.
DO NOT use a task-killer if you dont have a low end device. Android already has a built-in one that kills apps and does it safely. Using apps such as "Advanced Taskkiller" actually mess with the way the system kills apps and actually can cause more Force Closes and system instability in the long run.
Additionally, the more RAM the system has, the more the launcher uses to cache stuff it needs. This is good because the launcher becomes more responsive and fast as its using a cached copy instead of grabbing it all over again. If you clear the cache constantly, it needs to re-cache the items and so it will be less responsive.
Use a lighter launcher. Sense might be good but there are more rock solid and light launchers such as Launcher Pro that wont experience this problem. You dont need a new phone with more RAM. Trust me, 1GB of RAM is more than enough with the right system. :)