This is how its supposed to work.
- "if a Pokémon with Sheer Force holding a Life Orb uses a move boosted by Sheer Force, it will gain the passive damage boost (because it is not activated after the attack), but the Pokémon will not be damaged by the Life Orb." -
https://bulbapedia.bulbagarden.net/wiki/Sheer_Force_(Ability)