The reason is the _way_ anaphylactic shock is caused by massive release of certain cytokins as well as inflammatory mediators such as histamine by two types of white blood cells: mast cells and basophils. This release is triggered by the binding of immunoglobulin E (IgE) to the antigen (the foreign substance provoking the allergic reaction). Antigen-bound IgE then activates so-called FcεRI receptors on the mast cells and basophils. IgE molecules specific to the allergen provoking the allergy are not present in the blood in sufficiently large quantities until after the first (several) exposures to this foreign material. Initial exposure triggers IgE production by specific B-lymphocytes. Only once one or more exposures to the antigen have occurred will there be sufficient quantities of the relevant IgE to trigger this excessive mast cell and basophil reaction.