Your experience is pretty normal. Yes, RV do have that much heat loss. As stated above, the blower will start immediately, the furnace will heat to temperature, the furnace fire will shut down once the thermostat temperature is reached, the blower will continue to run a bit longer and then finally shut off.
From the time the furnace fire goes off, your camper begins to experience heat loss, even though blower is still running.
Most wall thermostats have some way of setting the "on and off" position and every wall thermostat does it a little different. But they can all be set to turn on and off with different temperature ranges. Your's may be set to turn on within a 5 degree range, thus a shorter cycle. You may increase that to a 10 degree range, making for a longer cycle. Just remember though if you increase it... If you set the thermostat at 70 degrees, this is the turn off point. It will heat the room temperature 70 degrees and then shut off. When the room temperature reaches 65 degrees, it will fire back on. This might make for a shorter running cycle and more often, opposed to a 10 degree difference and a longer running cycle, but the temperature difference may kick on at 60 and off at 70. 10 Degrees is a big change. So the short cycles are actually better so you don't have the drastic temperature swings.
I don't know how yours is set, but that's what's going on.