The Channels Set Up does not scan for my premium channels like HBO or Starz. Am I doing something wrong or is this normal?
Those are DRM and are not supported.
That's a bummer since it's part of my cable package and I login with my cable provider, just like the other TV everywhere channels. Maybe (hopefully) it's in the pipeline 
Developers have previously stated that it is not a feature they plan on implementing/pursing at this time.
How are you scanning for channels? Do you have an HD HomeRun with a cable card? The only premiums I am unable to access with a cable card are HBO/Cinemax, which are DRM protected (they want you to use their app/site for streaming). I am on Verizon FIOS and I am able to access all of my premiums (Epix, Shotime/Movie Channel, Stars/Encore, HDNet Movies, IFC, MGM HD, etc.) — smile
Limitations on TV Everywhere sources, including Premium channels, can be read about here:
As for HDHomeRun Prime tuners, we can't support them because they are DRM'd with a DRM that will not be made available to us.
Just to confirm - there's no way to access HBO, Showtime, etc. using an HDHR Prime. Correct?
No.
Yeah those premium or other DRM channels are a no go for Channels. Depending on your service provider you may only have access to a handful of local channels that are not DRM. Some providers may have many of the basic cable channels nonDRM and viewable in Channels. For me I use Spectrum, which has gone through a few mergers. So with Spectrum, in some cities and parts of the country all their cable channels are DRM with only local is viewable. Other cities or parts of the country with Spectrum most of their cable channels and local channels are available. I ended up in the most of the channels are DRM group, sigh.
Of course you should be able to get many of the non premium channels through Channels TVE with your service provider. However, you are still a no go on the premiums like HBO.
I guess I should consider myself lucky that the only DRM channels are HBO and Showtime for which I would probably use the apps anyway.
You can also record that content via PlayOn Cloud credits and they get integrated into Channels DVR automatically: Channels Support - PlayOn Cloud
Or if you are paying for HBO from your cable company, then you get HBOMax as part of that and you can set up Stream Links directly to that content. I'm not sure if it is the same with Showtime -> Showtime+/Paramount+, but I believe it is going that direction.