Revealing mistake: In the opening battle, it's quite obvious in close-up the arrows shot by the ballistae (war machines) can't really be travelling more than a few yards at most, not the great distance they're supposed to be flying and which real ballistae could manage.
Continuity mistake: In the Gladiatorial fight scene in Morocco, Maximus throws one sword with his right hand into the stand, still holding a sword in his left hand. The next instant long shot of him shows the remaining sword in his right hand as he taunts the crowd with "Are you not entertained?"
Chosen answer: You're probably closest with the suggestion that they're rather stunned at the sheer speed with which Maximus has carved through the opposition. They'd certainly be used to more of a show, so for Maximus to slay all his challengers in less than a minute would take them aback. If anything, the "Are you not entertained" is closer to the theatrics that they'd really expect to see, which would prompt them into cheering him - up to that point, he's not exactly won their favour, even though he's defeated all comers.
Tailkinker ★