Hi! This is most certainly not the case and it is not the norm! I am a Supplement and Nutrition Consultant, and as such I deal with Protein Powder on a daily basis (all types) and have been in the industry for many years. I use them daily, whether it be in baking, shakes, post workout, desserts, or when customizing a specific plan for a client. Most Whey Isolates will not have added sugar and they are also 90% pure protein, giving you great value per serving. Generally drugstore, grocery store types have sugar because they are cheaper quality. If there is a particular protein you are wanting to try, let me know and I can definitely recommend quite a few excellent products! Be careful of misleading claims like "low carb" on the label- they are ALL usually low carb (if they're whey protein, isolate especially). If you still have the one with sugar, I would use it post workout, as your body utilizes the sugar efficiently and needs it to repair muscle tissue and restore your glycogen stores.
Good luck on your goals!!!