No. A lot of businesses do this. It's one of the perks of doing direct deposit. It's not hard to set up an account like this. Go to your bank, set up a debit/checking account, (I believe) that savings accounts work too. Get your routing/bank account number from the teller. And fill out the paperwork at your work. I have direct deposit, and it's so much easier in the long run.
If the money is usually in your account on the Friday when the direct deposit is made, then your employer is doing nothing illegal. In fact, most employers take up to a week to give you the paper check after depositing the money.
More than likely it's not. Most companies have a specific payday and electronic transfers going in much more quickly that processing a check and then mailing it out. They're not withholding it from you, it's just taking longer to get to you.