I'm 90% sure it shouldn't be doing that.
If you take a look at how it works is that once you load the mag into the magwell there's a thing that pushes back that thing blocking the bb's form getting pushed out. So once you load the mag in, the BB's will get pushed out of the mag by the spring into the chamber to fire. The only reason it would dryfire is if there's something blocking the chamber. There's a gif of an AEG and how it works below:
Basically the only reason why it would dryfire the first round is if the black thing right there is blocking the chamber meaning that you're spring is half compressed when you are loading the mag which causes it to block the stream of BB's.
Sorry for the long winded explanation (I'm sure I've repeated the same thing but in a different way) but yeah basically, make sure the spring isn't compressed when you load your mag and it shouldn't dryfire on you.