Yes, and it should.

No novel is simply a prologue for the rest of the series. Each novel has its own story to tell, even if it's a small part of a greater story. Otherwise your reader will get bored before the end of your first novel and won't care to read future novels in the series.

You specifically mention A Song of Ice and Fire (A Game of Thrones): AGoT had its own story (stories) and could be read and enjoyed without needing to read any further in the series. It didn't just introduce characters and set up future novels. It began and ended several major character story arcs by the end of the novel.

Ancillary Justice did this as well: the first novel set up what was to come in the rest of the trilogy but it had its own story, with a beginning middle and end. If all it did was give an encyclopedia of character names and places I wouldn't have read past the second page.