I think celebs certainly expect it. Whether it's "right" or not is another matter. And I suspect it's rather hard to imagine what it's like having never suffered (and I use that word deliberately) through it.
I wonder how many things we take for granted would be lost through celebrity? The notion of being able to just go out and do some shopping, or go to a restaurant for a meal, or a walk in the park, or a pint down your local, without having photographers clamouring around you, and the photos appearing in some rag the next day or week?
It'd feel a bit like being imprisoned in your own home. Still, at least with most celebs, it's a nice home.