are not normal. I would suggest you try and fill/cover as many gaps with trim or caulking or wood putty as possible. wood putty will not stain very well either, so may be better off covering with trim at tread to wall interface on all treads for uniform look..... obviously you dont want to try and fill gaps that you want to stain with caulking or wood putty but the gap on the tops and bottoms of your risers might be caulkable since your are painting them white.
for removing sawdust from your treads after sanding use those tack cloths you can buy at home depot from cleaning them off well before staining etc. good luck. LJ