While students can learn both chemistry content and inquiry practices by participating in course-based undergraduate research experiences (CUREs), it is well documented that prior experiences shape perception. We conducted a case study to investigate students' first experiences with a CURE in an upper-division chemical engineering laboratory course, drawing upon interviews (n = 6), field notes, and written reflections (N = 31). We used discourse analysis to characterize students' agency as they navigated their uncertainty and made sense of the authentic research. We found that students' past experiences shaped their expectations about the CURE, with some wishing for traditional learning supports misaligned to CUREs. Offering students constrained yet consequential agency allowed them to recognize the authentic supports that were available, including help-seeking as itself a form of agency; understand failure as endemic to research rather than their own shortcoming; and position themselves as capable of navigating the uncertainty as a community of researchers. Our results suggest that instructors should model uncertainty and failure as endemic to research and position students as valued collaborators and support for overcoming abundant prior experiences with cookbook-style experiments.