That's right! They also thought that because they had been taught that the Messiah would be born in Bethlehem. Jesus was from Nazareth, but by some strange quirk of fate, his pregnant mother was taken from one city to another to participate in a census (very odd way to do a census). They were also taught that the Messiah would be descended from David (which Jesus was on his mother's side) but could not be descended from Solomon (which he was on his father's side, which would disqualify him but for the very lucky circumstance that his father wasn't his real father but that, like a Greek hero, he was descended directly from God. Another very convincing element that would mislead Jews into thinking Jesus came to fulfill their prophecy.)
And if that was not at ALL what he came to do, why did he meet the criteria so exactly? When it had NOTHING TO DO with what he was really there for? Hm...
The disciples had to be taught by Christ that he was coming not to set up a powerful political kingdom, instead he was establishing God's eternal kingdom.
Out of curiosity (and I'm not setting you up, I really don't know the answer to this one) which of his followers understood completely, before the crucifixion, what Jesus was really there for?
Judas.