Is paprika tasteless?

I'm from India and as you know, we use a lot of spices in our cooking. But recently, to make an Italian dish, I bought paprika - something I've never done before.

I always expected paprika to taste like a sweet and spicy chilly powder, but when I tasted it (straight from the bottle), it was absolutely tasteless! Is this how it's supposed to be? Does cooking it magically release some flavor or have I been cruelly cheated?