When one have sex is the woman suposed to feel the penis inside her?

Gemerally yes.: In many women the vaginal walls are devoid of sensory nerve endings and the feeling arises from the penis rubbing against the labia and the clitoris both directly and indirectly. This is too simplistic, since during the act, positions of both parties, technique, and other factors play a role. If you are not feeling anything you should contact and see a gynecologist and possibly a sex therapist.