That woman will fail at first: what a shock! (9)
I believe the answer is:
bombshell
'what a shock' is the definition.
(I have seen 'Terrible shock' mean 'bombshell' so perhaps 'shock' could also mean 'bombshell')
'that woman will fail at first' is the wordplay.
'that woman will' becomes 'shell' (I can't justify this - if you can you should believe this answer much more).
'fail' becomes 'bomb' ('bomb' can be a synonym of 'fail').
'at first' is a charade indicator (letters next to each other).
'shell' put after 'bomb' is 'BOMBSHELL'.
Can you help me to learn more?
(Other definitions for bombshell that I've seen before include "mine?" , "big disappointment" , "attractive blonde" , "Sudden disappointment" , "Explosion" .)