Indeed, that is true. I was registered in one Pennsylvania county and filled out a form to change my registration from one county to the other. I was registered in the new one, but the old county was never informed of the change. I was registered in both counties even though I voted in one.
Don't worry about it - I'm sure someone voted in your old county for you, so you were not disenfranchised. Sure, the person who did was probably a democrat, but...