I have had this happen. It's not a problem, as it's simply the result of the skin being stretched. Using some quality moisturizer will help prevent it somewhat.
I disagree that it's the result of too high of a vacuum pressure. This can happen at lower pressures if you stay in the tube for long periods, so that you reach a maximum pump. With too high a pressure, blistering is far more likely, and far more of a very painful problem. With practice you will learn where your limits are. Stay below them.