what type of shoes are you using, they some in many shapes and sizes, , if not enough foot print, the weight of blade will cause them to sink!
and is the ground under the snow frozen or not
this matters a LOT
as if its NOT frozen, odds are its normal to have things dig in a little
BUT that can also, be caused by angle of blade, if your allowing it to have more downward angle than needed, it can cause things to dig in
NOT all plow blade sets up work AS IS< for all skid steers, due to differences in quick attach designs and sizes(height width angle and so on on them)
if your on dirt gravel, this is why many folks modify the cutting edge with sections of pipe, to allow things to NOT dig in, and push as much gravel
lots of youtube vids on this if your interested in seeing, or considering trying !