Yeah that's expected, but it's not expected (at least for me) to happen in a chat. But, I never use FB chat so I don't know -- does it also create thumbnails for links and such?
Hmm, I see what you're saying; no it doesn't appear to create the thumbnail in chat. It would be interesting if Facebook uses different crawlers depending on whether the link is posted in the status box or in a chat. That could lead to some interesting analytics such as "your website was chatted about x number of times and shared via a status update x times."