In some of the games such as 4 and the Xeen games. I have this weird issue, in which I can't create my own party until I start with a default party, go to the inn, delete the default party. THEN create my party.

Is this normal? Did I miss some hidden option upon starting the games?

That's the normal way these games work.

Really? It seems unnecessarily inconvenient.

Yes. The manual page 11 (page 17 GOG pdf version) indicates that you have to visit the tavern to create a new party.

I agree it's a bit roundabout way of doing things, but perhaps the designers wanted new players to start playing straight away. The tavern is very close to starting location, so it's not that big an inconvenience.

Don't forget to loot the gear from the sample party, before you delete them!