I didn't bleed when I had sex for the first time. Some women don't. It is very common to feel sore during and afterward, and could even hurt next time. The good news is, it is pretty much guaranteed to feel better with every time you do it. Just go slow, communicate how you feel, and have fun.
Sounds normal. Possibly it hurt because you didn't have enough lube on the condom. Not every woman bleeds.