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.