For the most part, my twins have, but they're mz which I think makes it more likely. My brother's fiancee has 4 yr old twins (dz girls) & I don't know about the early milestones, but I know now one is noticably "quicker" at things (puzzles, etc) than the other. So far it doesn't seem to have caused any hard feelings between them, but I worry about how that will affect the "slower" one's self-esteem as she gets older. I don't know that there's anything that can be done about it, other then hopefully as they get older there will be some areas that each excels in so the parent(s) can encourage them each to focus on their own strengths.
Anyway, no real help, but yes, I think it's perfectly "normal", afterall they are two different children (& since dz, no more "similar" than any other siblings), it's very common for siblings to hit milestones at different ages, just not quite so noticable since it's not happening simultaneously like it does with twins.
I don't know how old your twins are, but I think, even at a very young age, it's important to NOT let the more demanding one "get by with it" (for lack of a better word), I know she's not doing it to manipulate or anything, but it's still a fact of life that she has to share her mommy with her brother. If he's content to wait for his diaper change, that's fine, but if you're giving her undivided attention during her's, he deserves the same. It depends how things are set up, you mentioned she sleeps in her room, so I assume you have a crib. Maybe put her in the crib with some toys while you change his diaper in the same room on the floor or something. Not "punishing" her, but removing her enough to give him a chance for some one on one time.
Another option, especially as they get older would be to arrange to have someone come help play with them so someone can be giving them each one on one attention & you can switch off who gets YOUR attention during that time.