Your first sync is doing more work than every sync after it. Context gathers the history already on your device — health, location and calendar going back as far as your phone holds it — then uploads and processes all of it. Later syncs only handle what's new, so they're much faster.
While that's running, the app will look emptier than it eventually will be. That's expected, not a fault.
You can see when your data was last updated in Settings, by tapping your profile in the top right.
If you work in a terminal, fulcra data-updates will tell you what has arrived over any period — useful for confirming something is flowing before you go looking for it.