Yes, it is correct. If your employer has a "cafeteria" or Sect. 125 benefits plan, then your health insurance premiums are pre-tax and are not included in your taxable wages shown in Box 1 of your W-2. Because they are pre-tax, you can not deduct them as medical expenses or anything else.
Your end of year paycheck stub and your W-2 will almost never match and that is why you should never, ever, try to use your end of year paycheck stub to file your taxes.