Welcome to the wonderful world of natural handle materials. This is normal, and I suppose the best way to look at it is that it adds "character" to the knife.
There's not a whole lot you can do to remedy the problem you already have. If it's a valuable knife, a dentist can fill the crack with dental amalgum (just like he would do for a cracked tooth), but this can get pricey.
As far as preventative measures go, mineral oil will reduce the chances of cracking, but will discolor and soften the stag. Renaissance wax works pretty well too, but only if the knife isn't going to be handled on a regular basis - it wears off pretty easily.
Otherwise, just enjoy your knife and relax. Like I said, this is normal and not really anything to get too worked up about.