I think it was St Teresa of Avila who said that we should see the God of consolations not the consolations of God. As a beginner in the spiritual life, I have never received any spiritual consolations. Is that normal? I just get on with my spiritual duties because the Church commands us to. 

Yes, dryness in prayer is normal. Consolations, if and when they happen, are very subtle and fleeting and easy to miss, often because these happen in ways we might not expect. Very rarely are they as obvious as, for example, sudden tears while in the middle of devotions. It's good to follow the commands of the Church, yet probably a way to understand what St. Teresa of Avila was saying is that devotions shouldn't be undertaken as something transactional. Keep at it patiently and diligently every day and look to Our Lady and the Paraclete to guide you.