I'd post on the paint forum for this one.
But, no, it shouldn't make dust.

I'd start by asking the painter exactly what product he used, and what grade of paint. The finish of the cheapest builder grade of flat paint can sometimes be chalky and unattractive, but even that shouldn't rub off on your hand.

Has he finished the job? Like bronwynsmom said, you shouldn't shouldn't be getting dust on your hands.
A 'shadowy' look often occurs when paint has been applied to drywall that isn't primed because the drywall will absorb it unevenly. That's one of the reasons primer is needed on untreated drywall.
It's also not unusual to see an uneven effect when primer is applied.