Is the Airpods Pro supposed to sound the same on Noise Cancellation and Off?

Hi, so I just got some Airpods pro and it is very weird as soon as I put them on even if bluetooth is off, they turn on noise cancellation even after nothing is connected. I then connect them and it says the noise control is set to off, I switch it to noise cancellation and it sounds about the same and then I switch it to transparency mode and it makes everything around me sound louder and I can hear a windy/static sound. Is this all normal? Is the noise control off feature supposed to sound the same as noise cancellation? Is it normal to hear a static sound when on transparency mode? Is it normal for the airpods to connect to noise cancellation even if bluetooth is off and they are not yet to be connected?