For the worshipers of the one true God, the coming of the Messiah was most certainly an expected and anticipated event. It must have been shocking to those living in the first century that the prophecies concerning the Messiah were actually being fulfilled in their lifetimes— but even more shocking must have been the realization that the Messiah had not come to rule.
The greatest evidence that the Jews were anticipating a Messiah different from the one that came is the constant opposition that Jesus faced throughout His ministry. This opposition most consistently came from the leading religious authorities, who were seeking to seize and kill Him. In Scripture, Nicodemus appears to be the only religious authority who acknowledged Jesus to be greater than a criminal and blasphemer (Nicodemus brought spices to Jesus after the crucifixion, John 19:39).
Not only was Jesus rejected by the leading religious authorities, He was also rejected by the common-folk. After Jesus had finished teaching that He was the bread of life, most left Him saying, "This is a difficult statement; who can listen to it?" (John 6:60). Many people saw Jesus' great miracles, but most were unwilling to accept His teachings. The rejection of Jesus by the common-folk is seen even more clearly at Jesus' trial when the crowds shouted, "Away with Him, away with Him, crucify Him!" (John 19:15)
Clearly, Jesus was not the Messiah the Jews had expected; He didn't fully match the description that the Jews wanted Him to have. Alfred Edersheim writes in The Life and Times of Jesus the Messiah (emphasis added):
In the absence of felt need of deliverance from sin, we can understand, how Rabbinic tradition found no place for the Priestly office of the Messiah, and how even His claims to be the Prophet of His people are almost entirely overshadowed by His appearance as their King and Deliverer. This, indeed, was the ever-present want, pressing the more heavily as Israel's national sufferings seemed almost inexplicable, while they contrasted so sharply with the glory expected by the Rabbis. (Book 2, Chapter 5)At Palm Sunday, when Jesus rode in on a donkey, the crowds were ready for Him to start the revolution. The people shouted, "Hosanna! BLESSED IS HE WHO COMES IN THE NAME OF THE LORD, even the King of Israel." (John 12:13). But when Jesus didn't bring in the kingdom, the people were disappointed because, for the most part, they were so intent on gaining deliverance from a secular government that they failed to realize their own need for spiritual deliverance— for Jesus, at His first coming, did not come to rule, but to die.
Christianity, Islam, and the Virgin Birth - The Christian Worldview
Was the Virgin Birth Necessary? Why was the Virgin Birth So Important? (Part 1)
Jesus' Purpose: To Save His People From Their Sins (Part 1) - Matthew 1:21
Isaiah's Prophecy: It's Fulfillment (Part 1) - Matthew 1:22-23