Yep, perfectly normal. In adition to anemones, I've seen clowns host in toadstools, euphelias, xenia, clove polyps, goniopora and even a clam. They're not picky.
I'm not sure if you're aware, but once the clowns mature, 2 of them will pair up and will likely harass the 3rd until it dies. They're fine in singles and pairs, but that's it.
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