Yes, it's to be expected. Unfortunately Early Bird Check In is non refundable (I believe it says so at purchase time, but is also in the FAQs:
https://www.southwest.com/html/gener...eckin_faq.html
Is Early Bird Check-In refundable?
All EarlyBird Check-In purchases are nonrefundable. Customers who cancel their flight will forfeit the previously purchased EarlyBird Check-In option for that particular flight.
In the event that a flight is cancelled by Southwest, the EarlyBird Check-In purchased for the cancelled flight will be refunded.
I believe only the reservation fees are covered by the DOT policies. So other add-ons like EBCI (or on other airlines wifi passes, etc), don't need to be cancelled.
One workaround that people have used with Southwest would be to change the flight, rather than cancel it, to another flight in the future, to retain the EBCI on a future reservation. Though this only works if you travel frequently enough.