The main disappointment that Scout suffers the first day of school is that, after so much waiting, hoping, and dreaming about the chance to be in a learning environment, she comes to realize that she already knew the things (most basic) that the teacher was expected to teach all children equally.
First, Scout could read and write. This was not expected nor imagined from a child of her age attending a one-room schoolhouse for the first time. This also posed an immediate challenge to her teacher, who was also a young, new teacher and was in no way prepared to deal with a little girl as smart, outspoken, and provoking as Scout.
Second, Scout caused pain for her teacher by basically explaining to her the situation of different students, such as the Cunningham boy. The teacher, again, was dealing with a child much smarter than her years, and in no way a tame and malleable kid. Hence, her teacher also showed a form of contempt against her.
All this made Scout's first day of school quite disappointing and led her to believe that she was in the wrong place.
Scout had been watching her big brother for years. She mentions looking for his jacket bobbing around the playground. In fact, this recess portion of school may have been her entire perception of school. Young kids always want what their older siblings have. This is the case for Scout.
When Scout actually gets to school, she finds that her teacher is prejudiced towards her because Scout already knows how to read. This means that her teacher Miss Caroline won't have much to teach Scout since first grade is all about learning to read.
Furthermore, Scout finds dissatisfaction with her teacher because it is so basic. She doesn't understand why the story about cats or mice is of any learning value. We later learn this is because Scout has been reading newspapers, hymnals, and whatever else her dad reads while she sits in his lap.
Lastly, Scout tries to explain the ways of Maycomb to Miss Caroline in a rather direct way. This direct nature demonstrates childhood innocence and understanding, but it doesn't necessarily make Caroline feel respected, and as a new teacher, she is not yet good at teaching respect. The story of Walter Cunningham not taking anything from anyone certainly doesn't make sense to Miss Caroline and this is the misunderstanding that causes Scout the most trouble.