To answer the questions.
Is it normal?
Probably not quite normal, but pretty far from uncommon -- varies a lot by country as well. With this knowledge in mind take a look at some job boards and you'll probably see some fairly generic 'fishing' posts from agencies trying to get people to contact them. These can vary from the fairly obvious to basically outright lies. Also you'll find a lot of agencies who (perhaps 'accidentally') leave an opening up after they know it's been filled for the same reason.
It's in an agencies interests to have as many people on their books as possible, they lose very little from having more people. And the better they are at providing good candidates to employers the more work they'll get. Each agency will choose how far to go in getting candidates on the books.
Is it ethical?
Well, they told you when you asked that it wasn't a real job -- so you can make your decision based on that.
They could have lied and said it was no longer available but they can keep your name on file. They could have even lied and say they'd put you forward for it but you were refused. I tend to think what they did was borderline, but they could have been worse. And if they generally manage to place people they 'catch' this way -- and both employer and employee are happy, then I'm not sure it's that big a deal.
A lot depends on how it was phrased. If they named a company then that's clearly nonsense. But if it was
Place in <some area> Fortune 500 company doing X'
and they didn't have a job matching exactly that when you called but they do have them regularly, it's arguable that it's OK. If they never have those sort of jobs then it's a classic 'bait and switch' and you should avoid them at all costs.
The fact they were honest about it probably puts them a level above the more unethical agencies out there.
Without the wording of the advert it's difficult to come down on one side or the the other -- and it's largely a matter of opinion anyway unless it's very blatant.
In the comments Masked Man states that it may be illegal -- that would depend on where they are, exactly what they posted and it'd probably be difficult to make it stick.
Go with what you feel -- if you think it's unethical on the basis of your personal ethics then your ethical line is clearly different from their ethical line and it's unlikely you'll have a happy time working with them.