I have just bought the the core set and love it tho I was wondering if it was normal for the bases to not go in all the way. Has anyone else had this occur or is it just me?

That's quite normal, especially for the large bases. The best way I've found is to clip of all the pegs and the glue the figures to the bases (any superglue worked fine for me). Be careful to use the right orientation, and for best fit, have a tool at hand to press the bar fully into the slot. Especially important if you want to paint the figures later - it just looks better if they are flush with the base.