Hi Pilvi,
Yes, that should be the behavior with SAP_PP_002.
The heuristic will first create a Planned Order with the PDS that has higher Procurement Priority and schedule it in the liveCache.
Then, it will determine whether the Planned Order can cover the requirement without delay. If there is no delay, this Planned order is adopted. If not, the system switches to the second source of supply to try to cover the demand on time.
edit: It should be visible in the planning logs that there was a delay for the planned order with a given source of supply.
If the source which has the highest rank should always be used in your business process (regardless of on-time delivery), an option is to use the badi solution provided in note 449263.
Regards,
Tiago