There was a first time for everything - except, of course, time travel back in time. But excluding things that fundamentally altered the universe, there was a first time for everything.
When Lex became an Immortal, he hardly ever came across situations where his mental capacity was strained. Even simultaneously controlling a dozen clones, living out their lives did not not make him as much as sweat.
But as he activated every sense he had available, from spirit sense, to soul sense, to the ability of his left eye to see through everything, to his Karmic eye and even the ability of his tenet to detect laws, he felt strained.
To be specific, it was not activating all those senses simultaneously that strained him. But trying to absorb all the information about how the realm was changing put him under an immense strain.