I wouldn't say it's normal, but context really matters here. If you're meeting deadlines, your results are visible, and management is satisfied with them - that kind of monitoring seems excessive and signals distrust. But if there are problems with deadlines or quality, then the company is just trying to figure out what's going on. The difference is whether your boss wants to control the process or verify that the process works.
One thing people usually don't think about is the legal side. Screenshots can contain personal data, passwords, non-work conversations - even if the screen was just sitting on your desk. Before you get upset, ask your company directly: what exactly is being captured, how is the data stored, who sees it, and what's the legal basis? In many countries and regions, this kind of monitoring requires employee consent and should be spelled out in your contract. If that didn't happen - that's serious grounds for a conversation.
If you're uncomfortable, don't hesitate to ask straightforward questions: why screenshots specifically instead of reports on what you've accomplished, and whether you can limit what's being captured somehow. Sometimes companies just haven't thought about alternatives. But if the answer is "because we don't trust you" - it's worth thinking about whether you want to keep working in that atmosphere.