The Winders being later built, do not have the cock on opening feature of the earlier Win single shots. At about the time Win went to blued receivers, they dropped that feature, thinking it to be a safety hazard. Even back then they were thinking of lawsuits!
Yes, the gun should not only extract, but throw the case too. Is the chamber tight? If you open the empty action slowly, you should se a point where the extractor snaps rearward. If this isn't happening, the small coil spring that is pushing the extractor may be broken, or removed.
Some gun owners didn't like the cases flying back, so they removed the coil spring that operates the extractor. You need to pull the forearm, and see if the retention plate and spring are still there. It's under the barrel on the right lower front of the receiver.
Hope this helps.