It is normal if the baseboard is not sealed to the walls. We used to install foil paper behind the baseboard and seal it with a piece of 1/4 round to prevent the problem. I am not sure what the current practice is, if there is one since the area where I am does not use wet heat so I have not worked with it for 35 years.
High temperature water in the system generates a strong updraft through the baseboard, picking up and moving dust with the airstream. When the air slows down as it spreads above the baseboard, some of the dust settles on the wall. This is similar to the marks you will see around air heat registers in the ceiling of commercial places that do not clean the ceiling often.