I, too, went through a grieving process in my transition.  As it turned out, I lost nothing in transition other than the old me and the safety of living as that familar person.  Still, I felt grief at the loss.
I don't remember how long that feeling lasted for me, but it was a few weeks or few months.  As I became more comfortable as Kate, the grief disappeared.  When I'm feeling down, now and then I still yearn for the familar discomfort of pre-transition, but mostly now I can see doors opening and am growing to look forward to discovering what is on the other side of them.
I think a grieving process is normal as long as it doesn't take you over and stop you from doing what you need to do.  Transition is a HUGE change and will affect every aspect of your life.  But if it is what you need to do, then it will be worth it.
*hugs*
Kate