I\'m working on a project (alone) and for every feature I develop I create a new branch, work on this feature, then merge it to master. So normally I never work on two different
That is normal Git behaviour. You are doing what is called a "fast-forward" merge, because your branch is strictly ahead of the master
branch.
If you really want to preserve branch history (although I'd recommend you don't bother) then you can use git merge --no-ff
to force it to create a merge commit even when it can do a fast-forward update.