Yes, this is an annoyance. In other recent iOS releases, if a notification arrived while using your phone, a long press would always give you the option to “X” and dismiss it entirely. In iOS 15, it seems the best you can do with many notifications is to swipe it down, which clears it from the screen but not notification center.
For example, this leaves me with older “rain starting” notifications from Dark Sky in notification center. Of course I can clear them later, but it’s still a regression.