Create a button with a FocusVisualStyle defined for it and have it focus on Loaded.
Observe that the FocusVisualStyle is not showing.
Create another button, move the focus between the two and observe that once the focus is coming to the initial button from the second button, FocusVisualStyle is now showing.
Quick repro case:
XAML:
<UserControl ....

<UserControl.Resources>
<ResourceDictionary>
<Style x:Key="MyFocusVisualStyle" TargetType="Control">
<Setter Property="Template">
<Setter.Value>
<ControlTemplate>
<Border BorderThickness="2" BorderBrush="Red"/>
</ControlTemplate>
</Setter.Value>
</Setter>
</Style>
</ResourceDictionary>

</UserControl.Resources>

<Grid x:Name="MainGrid"
      HorizontalAlignment="Left" VerticalAlignment="Center"
      Height="300" Width="300"
      Background="Green"
 >
    <Button x:Name="FocusHolder"
            HorizontalAlignment="Center" VerticalAlignment="Bottom"
            Height="40" Width="70"
            Content="Focus?"
            FocusVisualStyle="{StaticResource MyFocusVisualStyle}"
            />
    <Button x:Name="InitialFocusHolder"
            HorizontalAlignment="Center" VerticalAlignment="Center"
            Height="40" Width="170"
            Content="Focus Init"
            FocusVisualStyle="{StaticResource MyFocusVisualStyle}"
            />
    <TextBlock HorizontalAlignment="Right" VerticalAlignment="Top"
               Text="{Binding ElementName=InitialFocusHolder, Path=IsFocused, FallbackValue=No data}" 
               Foreground="Yellow" Background="Black"
               FontSize="44"
               />
</Grid>

</UserControl>

xaml.cs:
using System.Windows.Controls;

#endif
namespace NS
{
public partial class ReproCase : UserControl
{
public ReproCase ()
{
InitializeComponent();
InitialFocusHolder.Loaded += InitialFocusHolder_Loaded;
}

    private void InitialFocusHolder_Loaded(object sender, RoutedEventArgs e)
    {
        InitialFocusHolder.Focus();
    }

#if NOESIS
private void InitializeComponent()
{
NoesisUnity.LoadComponent(this);
InitialFocusHolder = this.FindName("InitialFocusHolder") as Button;
}

    Button InitialFocusHolder;

#endif
}
}