shouldn’t Harry Potter believe magic is “proper”?

Okay...

Here’s the thing...

Ready?

After Dobby the house elf dies, and everyone is very sad, Harry says:

I want to bury him properly. Without magic.

Now, this is a very powerful moment in the film, and Daniel Radcliffe’s performance here is wonderful and moving, blah blah blah, but...

Why would a wizard think magic is improper?

I can’t remember if this line occurs in the book. It probably does, but for whatever reason, it didn’t jump out at me while I was reading in the same way that it positively leapt off the screen to strangle me when I was watching the movie.

And I have been, ahem, haunted by it ever since. Why would Harry believe magic is improper? I know that he has lots of baggage leftover from his early muggle life, and maybe he was so infected his aunt and uncle’s aversion to magic that he still has a nagging sense of himself as something wrong and unseemly... but if that’s the case, shouldn’t the feeling have been manifesting itself all along? Shouldn’t we have had more a sense of Harry at odds with his own identity? We see Harry struggle with the loss of his parents, we see him struggle with his place in wizard society as a hero/savior figure, but we really don’t see him struggle with the idea that there’s anything wrong with magic. To the contrary, the films (and books) celebrate magic as something cool and better than the deprived muggle alternative.

Is it just me bothered by this?