They should have literally expected it because the LORD promised it several times in scripture, both OT & NT.
Luke 1:32-33 KJV
(32) He shall be great, and shall be called the Son of the Highest: and the Lord God
[Father] shall give unto him
[Son] the throne of his
father David:
(33) And he shall reign over the house of Jacob for ever; and of his kingdom there shall be no end.
NOT the throne of His father the Lord God (heavenly father).
The throne of His father David (earthly father).
They are not the same throne.
Things that differ are not the same.
OR .......
It was because the custom for a king or dignitary to come on a warhorse when they come in war, and come on a humble animal when they come in peace.
1 Kings 1:33-34 KJV
(33) The king also said unto them, Take with you the servants of your lord, and cause Solomon my son to ride upon mine own mule, and bring him down to Gihon:
(34) And let Zadok the priest and Nathan the prophet anoint him there king over Israel: and blow ye with the trumpet, and say, God save king Solomon.
Judges 5:9-10 KJV
(9) My heart is toward the governors of Israel, that offered themselves willingly among the people. Bless ye the LORD.
(10) Speak, ye that ride on white *****, ye that sit in judgment, and walk by the way.
Judges 10:3-4 KJV
(3) And after him arose Jair, a Gileadite, and judged Israel twenty and two years.
(4) And he had thirty sons that rode on thirty *** colts, and they had thirty cities, which are called Havothjair unto this day, which are in the land of Gilead.
Judges 12:13-14 KJV
(13) And after him Abdon the son of Hillel, a Pirathonite, judged Israel.
(14) And he had forty sons and thirty nephews, that rode on threescore and ten *** colts: and he judged Israel eight years.
2 Samuel 16:2 KJV
(2) And the king said unto Ziba, What meanest thou by these? And Ziba said, The ***** be for the king's household to ride on; and the bread and summer fruit for the young men to eat; and the wine, that such as be faint in the wilderness may drink.
Now ..... notice what Christ rides upon at His 2nd coming.
Revelation 19:11-16 KJV
(11) And I saw heaven opened, and behold a white horse; and he that sat upon him was called Faithful and True, and in righteousness he doth judge and make war.
(12) His eyes were as a flame of fire, and on his head were many crowns; and he had a name written, that no man knew, but he himself.
(13) And he was clothed with a vesture dipped in blood: and his name is called The Word of God.
(14) And the armies which were in heaven followed him upon white horses, clothed in fine linen, white and clean.
(15) And out of his mouth goeth a sharp sword, that with it he should smite the nations: and he shall rule them with a rod of iron: and he treadeth the winepress of the fierceness and wrath of Almighty God.
(16) And he hath on his vesture and on his thigh a name written, KING OF KINGS, AND LORD OF LORDS.