I agree that is what they should be doing. When you register an IP you do not need to have your own DNS. You are registering your IP/Domain Name pair so that it can be resolved at their DNS.

Anyone with an IP,or set of IP's, can start their own DNS without registering it as long as it does not conflict with other domains. This is accomplished by adding it as a sub-domain and using your own DNS. You can also register a domain name and then control it and other sub-domains from your DNS.

Of course this does not sound like your situation. So I would contact the company you registered your Domain Name with and find out why they are not pointing your Domain Name to your registered IP directly rather than going through a redirector. It may be they put in the redirector during the interim period before you went live and just failed to remove it. It may be that you will have to work with them to correct the situation to your satisfaction.

Hope this helps.