My vacuum pump is exhausting a fine oil mist from the outlet . . is that normal?

Yes. We recommend you do not breath this mist, especially for prolonged periods of time. Several people have told us they have adapted oil filters to fit onto the exhaust to capture the mist, others have purchased aftermarket exhaust filters and adapted them to put onto the pump. We however, just attached a hose with a hose clamp and ran the hose through the wall and outside. We chose not to restrict the flow of the exhaust by adding a filter.