I bought Comic Party DVD 1 with Limited Edition Art box, to find no DVD but the case and box, is this normal?

No... that doesn't sound normal at all. I would bring it back to wherever you bought it and trade it in, or get your money back. The DVD case should always come with a DVD, whether it comes in an art box or not. You definately want to get your money's worth (anime is so expensive nowadays), so I suggest returning it.