It's common to do this, to reduce load on the starter (so it isn't having to rotate the gears and shafts as well as the engine).
Some vehicles also have a safety interlock to stop you starting it in gear and unexpectedly driving away, but if yours had such an interlock I'd expect the manual to mention it.
I seem to remember that Volvo were sued by a bunch of Americans who claimed that their car had driven away on its own when started, and swore blind they hadn't left it in gear (I don't believe them)