Daycare-Is this ok???

Hi everyone, My son turned 2 in June and he just started daycare 2 days a week last week.  Today was his 3rd day.  He has been watched by his grandmother (his father's mom) since I went back to work after maternity leave.  He is generally very happy when I pick him up from his grandmother's.  Running around, laughing, playing and wanting to show me things.  He also goes to my gym daycare while I work out a few times a week and he's always happy when I pick him up there as well.  Well when I pick him up from the daycare center, he sees me and bursts into tears, wants me to pick him up and is super clingy.  He doesn't say bye to the people at the daycare either, like he normally does in the other 2 scenarios.  It may not be a big deal, but he is always SUPER thirsty when I get him, which makes me worried he isn't drinking enough there either.  Eveything seemed fine with the facility, it seems very clean and organized, the girl who runs the toddler program seems very friendly, etc. 

Do you think this is normal behavior for a 2 yr old who is starting a new daycare or should I be concerned?  Is he maybe just overwhelmed by starting the daycare?  He can't talk very well, so there is no way for him to tell me if something is happening there he is upset about.  I'm sure it is a lot for him to be in a new environment for 9 hrs a day and he probably doesn't get the attention he gets from grandma, but I just feel concerned about it.  I don't know if I feel comfortable with him going back there with this happening (or am I just being paraonoid?).

Any insight is appreciated?  How do other little ones react when they first started a new daycare.  Thanks in advance!!!