It's quite common, it's proteins from the fish food being given off into the water. it's not harmful in itself but if there's not enough aeration it can stop oxygen getting into the water.
be careful that you're not overfeeding and adjust your filter so it breaks the water's surface and creates ripples, this will break it up.
Yeah, I think it varies with different fish foods. Often you can see a thin film from regular flake food and sometimes people report a more significant slick if they've used bloodworms live food.