>I am not sure.. but maybe that this behavior is reproducible also on 
GNU/Linux...
Yes, the same here (Debian GNU/Linux).

> I wonder if this is to be expected
It's expected: it's a software for data encryption/decryption
and authentication for data communication; it's not something to operate
exclusively on Emacs, so it's normal that the configuration files being
located under $HOME/.gnupg.

> and if one can put .gnupg inside .emacs.d
> (I would expect all things regarding Emacs in .emacs.d).
When you use it to download one ELPA package with package.el it also
creates a dir "gnupg" under `package-user-dir' ("~/.emacs.d/elpa" in my
setup).

Tino
--
“He's not human... He's like a piece of iron.” Ivan Drago