No, it's normal for the pigment to end up in the urine. There's just some variation in how fast it gets there, and on top of that the variation in urination pattern and how much red beet you tend to eat. That can all affect how much you see it coloring your urine.

https://www.sciencedirect.com/science/article/pii/S104366180500099X?via%3Dihub