Yes, check engine light on with key to on and engine off is completely normal and nothing to worry about.
Just a safety reminder - be sure to only practice on more or less deserted roads until you're throughly comfortable and know that bump starting works each and every time. (eg. My car happily cruises on level roads at 28 mph in 5th gear, but the engine won't always bump start in 5th gear at speeds less than ~33 mph.)
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