The announcement that Neo is not the first "One" is met with shock from the hacker in The Matrix, Morpheus tells Neo that he believes the man is a reincarnation of The One, destined to free humanity from subjugation under the Machines. Hints that Neo is the last in a long line of Chosen Ones are present throughout the first and second movies, but perhaps never more explicitly than in Morpheus's explanation of the legend.
After Neo wakes up from his virtual existence within The Matrix, Morpheus explains why he was so insistent upon freeing Neo despite him being over the ideal age. Morpheus is driven by an unrelenting belief that Neo is a reincarnation of the first "One," a man who had the ability to control every aspect of the computer simulation and who freed the first humans. Morpheus reveals that after the original "One" died, the Oracle "prophesied his return," he says. "That his coming would hale the destruction of the Matrix, end the war, bring freedom to our people."
Events in The Matrix and The Matrix Reloaded foreshadow the idea that Neo is not the first Chosen One, but confirmation of that theory by The Matrix Reloaded still seems to come as a surprise to Neo. While he, Morpheus, and the audience are already familiar with the idea of a reincarnated Chosen One, the Architect is framing that information in a new light. The sense of revelation the Wachowskis try to create around the idea that Neo is not the first "One" is an extension of the true reveal — that The One was deliberately created by the Machines in order to give humanity the illusion of freedom. By embracing his destiny as the Chosen One, Neo is not rebelling (as he thought), but continuing to live inside the Matrix and under the control of the machines.
Morpheus' theory about the Neo being The One is rooted in a folk tale that has been carried down over decades as a message of hope. The story of The One is a story of freedom from the rules of the Matrix, and by extension, freedom from the control of the Machines. As Morpheus explains, many of the people of Zion cling to the idea of The One as their savior in a seemingly doomed war against the endless power of the Machines. The idea that Neo could be a reincarnation of that powerful and mythic figure is a huge boost to faith in the rebellion.
That idea is flipped on its head in the final scene of The Matrix Reloaded, when the Architect reveals that there have been a multitude of Chosen Ones, all of whom failed to free the people of Zion. The audience is already familiar with the idea that Neo was not the first "One," but the Architect's confirmation and report that the role has been recreated many times over the years diminishes Neo's importance in the war. Instead of representing the long-awaited return of a world-changing hero, Neo is simply the most recent version of a software glitch, updated every generation. It may not seem important at first glance, but the difference in the frequency of Neo's reincarnation is critical to the story and provides one explanation as to why he might be surprised by the Architect's reiteration of an idea Morpheus already introduced.
Neo's reaction to the Architect's statement could also have been an effort by the filmmakers to lengthen the big reveal. Astonishment by Neo makes the idea of multiple Chosen Ones seem new. By neglecting the fact that Morpheus dove into the subject of reincarnation in The Matrix, the filmmakers enhance the shock factor of learning that the Chosen One is a pawn of the Machines. Ultimately, while the facts of Neo's existence remain the same, the meaning of those facts changes drastically. By the end of The Matrix Reloaded, being a reincarnation of the Chosen One no longer means that Neo will save Zion, but that he is fated to destroy it.
