This is correct since a triangle has an orientation in 3D space which is given by the normal to the plane it lies on. A point on the other hand just has position and so no normal. Not assigning normals for the points in a point cloud is OK.
More examples Babylon.js Big Bang
I think it is because the shader that determines the appearance of a screen pixel uses a normal, color and light direction from the vertex data in doing this. Assigning a normal to a point can therefore affect the displayed color.